How should you learn a language on your own?

One thing I find is that it's good to get a number of books that cover the same material. Often fine points that may seem obvious to the author, though confusing to the beginner, are overlooked in one text, but covered in another. Regular interaction with a native speaker of the language you are learning could be very valuable too - even though you're learning yourself and not relying on them to teach, as such.