I don't at all recommend limiting yourself to self-study when you start this endeavor, it's too daunting given all the unknown unknowns. To start with it helps a lot to take courses, even if it means sitting in/enrolling in night courses at the local community college. It provides a reference point to what others understand, allows real-time querying with an instructor, and is more motivating than self-study. Once you have completed and fully grasped a difficult proof-based course (real-analysis, algebra, etc), then you can possibly embark on a successful self-study. I'm not saying it can't be done, but you will get to mathematical maturity faster this way and there will be less risk of early abandonment.
