Currently teaching myself Russian. Got all the language CDs from my local library and then ripped them. Started listening to them while driving in the car, cooking, washing dishes, going for a walk or taking a shower.
Got a workbook which helps me learn the vocabulary and reading. I practice my writing in it. Try to supplement it with watching Russian movies on YouTube or listening to kid stories in Russian.
only practice I am usually able to get at using it is when I go to the local international farmers market and go into the East European section.
I worked only once with a Russian tutor but don't want to dish out money again until I'm more confident in my basics.
That said, nothing beats learning by immersion, it seems.