One thing I did not do while learning mathematics that I wish I had done:
When you learn something new, actively look for interesting problems that can be solved with it.
I mostly relied on the exercises (which are good to do), but since they were not problems I invented, I've forgotten most of the material. However, if you use mathematics to solve fun problems that you invent, you are more likely to remember it. And, to be honest, I suspect you also learn it better.
Most people take a problem and try to learn the math to solve it. I suggest inverting the process. Learn the math, and seek out problems solved by that math. Don't be afraid to make it an "overkill" solution. Even if the problem has a simple solution, use your fancy new tools to solve it.