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The first thing you need to do is an honest self evaluation of your math skills. Theoretical physics, like all physics, depends very heavily on mathematics. There is a big difference between being able to do the math and being able to understand the math, as well - if you don't really understand it, that will block your physics progress before you get too far. So sign up for all the math classes you can, at least up through calculus.
You can read on your own, but a great deal of most theoretical physicist's work is done in conjunction with a team of others; it's generally agreed that discussion is essential to this field. Even if you are working alone, you would benefit from virtual discussions with others.
Check out the links below - the first two will help you gain a better perspective on the math background needed, and also will help you find tutorials and reviews. The third link will take you to a discussion forum where you will find a place to communicate on line with others who are studying theoretical physics. Good luck, and stick to it - it's a vast, fascinating field of study, and there is still a lot of work to be done.
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