... Of course I needed to acquire a sound knowledge of English grammar because I studied the language at university, but when I look back at how I actually learned the language, the things which come to mind are not actual learning efforts. I would say I learned English because I sang along with songs from bands I liked no matter what the lyrics actually meant (good for pronunciation, did nothing for my singing voice), started to read English novels in the original early on, and quickly learned many Monty Python sketches by heart. I get the impression that I soaked up vocabulary, grammar and expressions in a natural fashion while doing that rather than that I consciously learned how to create valid if-clauses, when to use progressive forms etc. I also think it was a very important step to use the single-language Oxford Advanced Learner's Dictionary instead of a translating one early on.
I try to use the same approach now when learning Russian. Exercises do little for me. Incidentally, I have noticed that the same goes for most students I helped with their English: exercises teach them how to solve exercises with as little effort as possible, like replicate if-clause patterns six times with new words, but even if they can do such exercises perfectly, in a real-world situation they cannot form even the most simple sentence.
Instead, I have people with whom I write e-mails in Russian, and I notice (but don't try to consciously memorize) what they correct. I read Russian on the net and a Russian novel and observe how things are expressed. I look up words I don't know, but don't make lists, don't write them down, don't use flash cards for repetition; either they stick, or they get looked up again and again until I master them. Furthermore, I try to put them into context (easy when they come from texts, hard when they come from flash cards or word lists) so I get to know them in their natural environment.
The only thing that's sorely missing is a good single-language dictionary of Russian. I've looked at some but they are not on par with the OALD. The ones I have seen do not explain in-depth or give examples, they more or less just collect synonyms.
Pictionaries are also a good resource: They show pictures with the words next to them rather than just words, and that helps to integrate the hemispheres of the brain when learning. Language-only information resides only in the let hemisphere, but the ideas you want to express are located in the right. If you learn a language text-only, you train your left hemisphere in translation, but you will always require translation before you can actually understand and extract ideas from a foreign language or formulate your own ideas in the target language.
As it is, I lack speaking experience in Russian, but I have local friends and Skype contacts with whom I could converse if only I gathered the courage to try...
Robin