I also am learning on my own, with a background as a Network Admin. I am learning from many books, and have had the same problems you mention. I actually put Java down for almost 6 month (talk about disconnected!). Usually, this has been my study habits that have led to certification (MCSE 4/2000, MCDBA 7/2000, MCP, MCSA, CCNA, A+/Net+, etc.):
1. If I am REALLY lost on the subject, I will start with a 'whatever' For Dummies book, just to get an overall feel of what I'm dealing with (I've only done this 2 or 3 times.
2. I then will move to (or usually start with) a 'whatever' in 21 Days book, to get a more in-depth handle on the subject and learn it relatively quickly. These books usually become a great resource for looking up something I remember doing, I know how to do, but just forgot how. I'll mark it up pretty good so I can go back and reference it when I forget something - even something as simple as how to use a StringTokenizer!
3. I then move to the serious books, the ones usually reserved for classroom type study or college textbooks. I am using Deitel Java - How to Program, and I love it! I've found that the best way to keep the knowledge I have just learned is to actually do ALL the exercises at the back of the chapter. I usually can read and understand the chapter in about 45 minutes, while actually USING and IMPLEMENTING the technology will take me a few days of study. But then it becomes second nature.
4. Then, lastly, if I'm trying to get certified, I'll finally go out and buy whatever 'certification' books are highly recommended. Certifying is usually VERY different than using the technology - I don't know how true that is with Sun's Java
test, but Microsoft is notorious for that.
Hope that helps! Bottom line is, there are plenty of 'student' projects and examples that you can follow to get some practice. Take these and work on them...then modify them to become more robust, more functional, whatever. Of course we will all agree that nothing will ever replace doing this everyday for 8 hours a day. I dream of the day that I can say that's what I do for a living. Until then, happy trails!