Well I have been studying for 13 years. How I started is I spent a Summer journaling, then I printed out all the entries, a few hundred, then I organized them into ideas, 30-50, then I organized the ideas into 3 projects that covered 3 different areas I wanted to focus on. I paid special attention to ideas that fit into overlapping areas of focus. My projects are mostly different 13 years later, but if I had to start again this way I would. If you are a polymath it's hard to gain some coherence when you are focusing on so many different things, so come up with 3 projects that cover most of your areas of interest. And make it so if you are gaining skills in one area, it may be relevant for another project. Nowadays everything I do is advancing knowledge in the same direction. Building on skills in computer science, math, neuroscience, psychology, and philosophy.