As mentioned in previous discussions on HN, software development is not the same as computer science. Just building stuff will probably make you a better software developer, but won't necessarily teach you theoretical topics such as algorithms. I think it really depends on what you build and what you are interested in. For example, writing a jquery plugin might teach you about frameworks and certain design patterns; building something like a recommendation engine for Netflix might expose you to some more theoretical concepts.
With that said, I think the best way to self study theory is to pick a university course that has posted materials online (MIT OpenCourseWare comes to mind) and try to finish it. To do something like that takes a lot of determination, but I think it could be well worth the effort in the end. Good luck!