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.)