I am in the same process, teaching myself PHP using books.
The first thing I did was to set up Apache Server, PHP, and mySQL on my laptop so that I could test code right on my computer and not have to go online.
I then picked a book from my local library that had lots of code examples and some projects to work on, and I am working through it, it's a little slow because of life and work, etc, but I am making progress
I look at a lot of tutorials online and also spend time on forums like this one and others asking and answering questions, it's one of the best ways to build and solidify your knowledge. I am blogging about it as I go, since that keeps me accountable since I want to post frequently!!