Self-taught here as well. My first attempt years ago was a disaster so I didn’t keep it up.
But about five years ago, I saw a friend knitting and said something about it. She suggested I take a look at the Stitch 'N Bitch book, which I did. Read it cover to cover and tried again. My first project? I always say looks like it was made by a demented kindergartener. Horrible. But I learned from it and the biggest thing for me I learned from the book was that there was more than one way to hold the yarn. Took up continental and never looked back. (Although, I have learned English as well so I could do two colors in two hands.)
Learning for me means reading everything I can get my hands on. Reading the generic “how-to” sections of different pattern books can help with understanding because maybe that third book finally explains how stitches sit on the needle in a way you understand. I found this forum and worked my way back through years of posts learning from other people’s questions. I found blog’s like techknitter’s and read through those. Once I started learning the terminology, it was a simple thing to be able to start to Google the answers to my own questions. (Which I still do!)
I then took all that reading and looking at my early projects, just kept trying things. I did different cast-ons, never repeated a hat pattern, lots of small projects to work on my tension and other skills. I was pondering the whys of construction a lot as well as learning about yarns and fibers and what I liked, which is how I ended up designing my own patterns.
But … I think my experience is a little extreme. Most people just want to be taught enough to be able to make those plain vanilla socks in pretty yarn, not understand the eight ways of casting on a toe-up sock or questing for the perfect heel. They just want socks. Which is perfectly awesome. But for that, my recommendation would be to find a sock/hat/mitten knitter you can sit with and ask questions of until you figure it out. That’s the easiest way to learn that one thing.