I'm incapable of self-teaching a language. I need the external motivation from a set schedule, and the interaction with another human to keep me progressing.
I moved to Hong Kong this year from San Francisco to do these classes (and because I wanted to make the move). HK speaks Cantonese, so it's not full immersion. But you're a lot closer to China here and there's a decent amount of Mandarin around. The best thing to do would be to move to the mainland, but I'm not quite ready for that yet.
This is going to sound ridiculous, but every class my teacher and I basically spend the first hour (before getting into the official material) just chatting about life. A lot of it is about mundane topics (travel, food, what we did in the previous day, my adventures hitting on girls, etc.). We do it all in Chinese. She helps me by adding to my vocabulary as I try to express these things in Chinese. She adds new vocabulary constantly to this as well, waiting for me to get confused and prompt her about it. These conversation are the most helpful part of the class. They're natural and real. They hit topics I'd use in real life daily. They also involve natural repetition helping me naturally add the vocabulary and grammar to my repertoire.