This is the right way to approach this. You don't need to read things in the order that they'd be presented if you took a formal university class on the subject. Start by thinking about questions that you're interested in, and look for books that are well-reviewed, seem interesting, and hold your attention. It doesn't really matter what you read, particularly at first. Follow your interests, and read things that are engaging that deal with questions you think are important. Don't let anyone tell you you're self-educating "wrong," and don't feel like you need to read anything in particular. You'll start to get a feel for how people talk about various issues, and by following references from books you enjoy, you'll be led to similar works on similar themes. Just explore the ideas rather than think about it as pursuing a curriculum.