[NTREEG]

I think one of the first things you should do is learn hiragana and katakana right away. It's not that difficult and you can learn them both in just a few weeks if you devote a half hour or so everyday to practicing them. I learned them by picking a row of sounds (for example ka ki ku ke ko) and writing them from memory on a sheet of paper about a hundred times. The next day, I'd pick a new row of sounds (sa shi su se so) and write them a hundred times as well as the hiragana from the previous day (and maybe the day before that too).

It's good to know kana because many of the Japanese dictionaries you'll find will only give you readings in kana and not romaji. Also, unless you are very thorough, it's easy to make mistakes when memorizing vocabulary written in romaji. For instance I learned the word べんきょう　（benkyou) back when I only knew romaji. Often times I forget to pronounce the long "o" sound because I learned it incorrectly as "benkyo" when I read it as romaji. So yeah, get cracking on that kana!