Well, I believe that happens to most of the autodidactes. That happened to me also. But the key is to never get frightened by the size of the task and keep pushing.The first thing I learnt is that I know nothing and that I was jumping into an ocean blind. Until I realised how deep what I was surrounding myself went, I was drowning.
What I've learned was with the aid of some wonderful people in another theory forum, who have a lot of patience because usually one question of mine grows to 5,6,7 or even 8 pages because one subject leads to another, and another, and another. I've learned several bits of different subjects and, at the end, I was able to see the relation between them and integrate it all.
One thing I noticed is that the basis of all the theory are the major scales. The problem is that, when you are learning them, you don't understand why you need them. So it becomes boring. Fortunately I was able to learn things the way I did because it maked it all much more fun and gave me a sense of achievement evertime I was learning a new subject or posting a new question in the forum. I learned one new thing everyday.
Well, it all depends on the approach and on the learning mental process of each one. For those who need a sequence I think the best is to start from the major scales (obviously together with the definitions of intervals and their variations).There's a lot to learn, that's all I'm saying, I refuse to pretend one aspect is better for a beginner as opposed to another.
