iDante comments on A Quick and Dirty Survey: Textbook Learning - Less Wrong Discussion
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Hey I can input! I'm also a physics undergrad. Math textbooks are always tough. Go talk to a math professor and see if they recommend one for you. This is good because they know about where your knowledge level is and can suggest an appropriate book, plus you can come to them with questions. I do the same for physics textbooks too.
Do all the exercises, it should take a long time. I've done ~3/4 of the exercises in Griffiths E&M in the last four months, and that's a reasonable pace.