Each new piece of knowledge you learn will give you a better base from which to learn more, and slowly the amount you are able to learn will increase to help you cope with the load.
After a while you gain the ability to reduce a problem you're faced with down to other problems in other disciplines, then things start getting boring because you can already figure out a way to reduce this problem, etc. So at that point it's time to mix it up a little and refocus.
Another thing that should be noted is that you should always make sure that you are out of your depth with at least one thing you are studying. You can only really improve by pushing yourself. However remember that you cannot push yourself constantly, sometimes you need a break. So in doing this, you should be driven by your own interest.
What I have found is that I am not necessarily able to do everything at once, so I end up doing a rotation of things I find interesting at that moment. Eventually I'll either discard some topic or problem or such, because I don't find it interesting or I will find something new that I find more interesting. If things get stagnant, mix it up a little!
I've been doing this for approximately the last five years, and I think the payoffs have been great, and I have learned so much more than I think I would have otherwise. However I have nothing to compare to! So we cannot be sure =)
Do what interests you.