This is EXACTLY what I'm doing and it seems to be working out great. Finding exercise for the higher level topics is a bit more challenging, but there is a lot out there. The thinkstats book is great if you're a programmer:

http://www.greenteapress.com/thinkstats/html/index.html

I've also been studying a berkely stats course on itunes u and working the exams/notes from this class:

https://netfiles.uiuc.edu/fenghong/www/STAT100/

I'm also reading a lot about financial analysis and risk assessment to fiddle around with real-world applications of the things I'm learning.

it's a hell of a journey.