When self-studying mathematics, it's crucial to choose a book that includes numerous exercises at the end of each section, preferably with answers or model solutions provided. Engaging with these exercises is essential; one should complete most of them before progressing to the next section. It's important to resist the temptation to look at the solutions too early, as this can hinder understanding and retention of the material. Effective note-taking strategies can enhance comprehension, but the focus should remain on actively working through problems to solidify knowledge.