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Vladimir_M comments on Discuss: How to learn math? - Less Wrong Discussion
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Self-teaching math is a skill in itself. The hardest thing is to recognize what it feels like to be confused, and to attack the source of your confusion (it's way too easy to think "meh, this makes sense" when it doesn't.)
Read with a notebook, like a monk, copy things down as you go. When you finish a book you should have a (somewhat paraphrased/shortened) copy of your own. Do the exercises if there are any (yeah, this will make you feel stupid. The more you can face this feeling, the more math you'll know.)
This is good advice, to which I'd add: once you're done studying some particular area, be sure to have a clear and systematic "bird's eye view" of the basic definitions, lemmas, and theorems, how they depend on each other, and what the salient point of each one is. Because if you don't use this knowledge for a few years, it's surprising how thoroughly you can forget almost everything -- and in case you ever need it again, you'll be in a much better position if your knowledge decays into a still-coherent outline of this "bird's eye view" than a heap of disorganized fragments.
I find it scary how thoroughly I've forgotten some large chunks of math that at some point I knew so well that I would have be able to reconstruct them, with proofs and everything, given just paper and pencil. Those I still remember very well after 10-15 years are either those that I drilled so intensely that it developed into an irreversible skill like bike riding, or those where I organized my knowledge into a very systematic outline (even if I never had a truly in-depth understanding of all the logic involved).
I also find that scary/frustrating. But don't you find you can relearn those forgotten chunks much more rapidly than the first time, if you need to?
Oh, yes, definitely. But the amount of effort necessary to relearn them is much smaller if you remember something resembling a coherent outline than if your knowledge decays into incoherent fragments.