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Daniel_Burfoot 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 probably true not only for math. It suggests a general principle of rationality: seek out situations in which you might be made to feel stupid.
This is much easier said that done. Unpleasant feelings are unpleasant, it burns will power.
I think positive conditioning on this is vital. However if this conditioning can be generalized or if it remains field specific is another question.