How to self teach math? (when you have other academic commitments)

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I'm an physics undergrad student. I find my math course curricula irrelevant and my teachers unable to teach us in a way to build up a minimum back ground to further study in the field of physics and mathematical sciences. In order to do well in the exams, it is enough to solve problems from previous years and that's basically a lot memorizing and all that stuff.

I want to be self educated in mathematics using textbooks. But I find it difficult to go through the whole textbook while keeping up with the academic curriculum. For instance, I have a course in Mathematical Physics. I wanted to work through the whole book of Mathematical Methods by Arfken. I felt that if I just rush through the exercises then I will be missing out on the insights that I must gather. On the other hand if I be too "slow" and think too much then I won't be able to cover the materials for my exams.

How can I figure out which problems to do and how much time should I spend on them??