Again, I agree doing it at the university is more effective way of doing it, and if you have the possibility to do it, good for you! But most of us can afford to dedicate at most 5 years to studying full time, and than other responsibilities kick in and you can't do it anymore. The majority of your life all the new knowledge you get will come from self-study. So you better learn to do it.
For me, merely pushing myself through a theoretical CS curriculum made me see (and write) hundreds of proofs, hear them explained by professors, and see non-trivial exercises solved during recitations. I don't think you can get the same kind of experience by just reading a textbook, even if it does offer full solutions to problems.
Maybe when there will be full video lectures for both lectures and recitations for the basic math (or theoretical CS) curriculum you could self-study by watching those and solving problem sets. Right now, the math courses offered by Coursera don't seem to match college level, and their platform doesn't really work for proof-based courses like Analysis, Linear Algebra (not the applied kind), etc...
MIT OCW has excellent courses for discrete math, calculus and linear algebra and in some cases videos from the recitations are included.
http://ocw.mit.edu/courses/mathematics/18-01sc-single-variab...
I also stressed a few times already I don't think it is "the same kind of experience". But as long as you make an effort you will make progress and not everyone can manage to fit a university degree in their schedule.
Also lots of people have convinced themselves of lots of silly things. You can probably find dozens of papers from people with bachelors in math (or no degree) claiming they have solved P=NP. A lot of these turn out to be completely bogus, but the authors nonetheless thought they were serious attempts.