especially the part about skipping the exercises. if you're not trying to write a dissertation or pass a qual (and you're just interested in learning and being exposed) then you don't need to do them. a lot of exercises are a hazing ritual or imagined by the author to be a dose of bitter medicine (i'm looking at you electrodynamics by jd jackson) since they mistakenly believe all readers are formal students.
the most important exercise is to mull over and consider what you're reading/learning. naturally dovetails in to asking question: what happens if i remove a hypothesis from a theorem, what happens if i add one, is there an analogy to another object/group/measure/etc, etc.
also read multiple books (http://libgen.is/ is your very very good friend and generous friend). a lot of math authors (no matter how esteemed they are) are terrible writers or make mistakes (look up errata for previous editions of your favorite book).
the only thing i'd add is to learn to use LaTeX to take notes - it is much easier and faster and neater.