Poneko uz nas uči i Srpski jezik:
I'm currently learning Serbian on my own. I just started, so I don't have a conversational level yet, but being a linguist I know a little bit about language learning.
The first thing that I've done is started exposing myself a lot to the language. I have been listening to a Serbian radio station on mikesradioworld.com frequently and, even though I don't understand much of the words of the music, I have learned a few things, like how to say “www.radiobuca.co.yu” in Serbian. You can get this kind of exposure to the language from many sources such as radio, TV, and/or movies. Try to make it so you can understand as much as possible. This means that you can select materials on topics that you already know about (or are interested in) because you will already have more general knowledge about them that you can use to understand and incorporate the language content. Likewise, if you are going to see a movie, you can read the synopsis of the plot online or something so you will already have some understanding of what's going on that you can use to help you get more meaning out of the film. Don't use subtitles though; your brain will have no need to learn new language if it has acces to language that it can already understand.
I also have access to a couple of native speakers, who have taught me some phrases. The native speakers that I know are pretty knowledgeable about linguistics, so I can ask them technical questions, but if you are acquainted with native speakers of the language you want to learn who don't happen to be linguists, you can have them simply talk to you in the language and have a conversation. If they repeat, talk slowly, and gesture and stuff, you'll be surprised how much you can understand. Likewise, you'll have an opportunity to practice your use of the language in a friendly environment.
I also got some “teach yourself” type books from the library. The one that I prefer is not heavy on grammar and also not just a phrasebook, but rather a true teach-yourself language course. Stay away from books whose tables of contents are organized around the grammar point that each chapter teaches. Likewise, stay away from books that encourage you to memorize and repeat dialogues. These are both marks of old language teaching methods that have been found to be relatively ineffective. There's nothing wrong with having dialogues in the book that you can read to understand, but if the book says that you should memorize and repeat them, look elsewhere.
Finally, my main advice would be that you don't have to know everything about the language to be a good user of the language. I, for example, know very little vocabulary in my native language that has to do with fields like hang gliding, rocket science, and so forth. I just don't have a need for that language. In a similar way, you don't need to learn things that you won't use in your new language. For example, do you really need to know the word for “coffee table” in your new language? Learn language that you will really need and use, and it will provide its own motivation for learning.
Have a great time learning language!