Forget about Transliteration
Learning to pronounce a language through transliteration is a waste of time. Transliteration makes you associate the sound of the word with the characters of your native alphabet. In essence you are not learning the actual language because you are learning what is transliterated and will always look to the transliterated version for help in pronunciation. You are doing an extra step in language learning that is not necessary. Associate the sounds with the alphabet you are learning not the transliterated version. The only time transliteration is helpful is if you are just visiting the country and have no intention of learning the language.
Set Smaller Goals
Everyone has a goal of being fluent in his or her new language learning endeavor. However, many get discouraged because of their perceived lack of progress towards their fluency goal. Fluency is a big goal and may take some time to achieve and when people compare their progress, no matter how good their progress in learning is, to the goal of fluency it always seems they are falling short of that goal and it seems almost like a huge daunting task. The solution to this problem is rather simple. What you have to do is set smaller goals and by doing this it will boost your motivation because you are accomplishing something but you are still also aiming for the big goal of fluency. For instance set a goal for a week to learn words associated with a hobby you like. If you like soccer you can set a goal to learn the name of goal, shorts, jerseys, ball, cleats, etc. Or you could set a goal to master the numbers 1-30. Setting smaller goals and accomplishing your goals will help keep you motivated towards the bigger goal of fluency.
Flashcards
Flashcards are an excellent and convenient tool to learn and memorize vocabulary. By taking flashcards and using them vertically with many words instead of horizontally you will be able to review more words per card and carry around less flashcards. The nice thing about flashcards is their convenience. You can carry flashcards in your pocket and use them in line at a store, at work, or wherever there is an opportunity to use them. There are also flashcard programs that can be used on a computer that time the repetition to maximize learning.
Take Advantage of Opportunities
This is a rather simple but sometimes overlooked common sense idea. If an opportunity presents itself take advantage of it. For instance, if you are a student in college, talk to someone about doing a study abroad program. Another example is running into a native speaker where you live. If it is possible see if they can help you learn the language or at least get to practice it a little with them for the brief time they are talking to you. If you can afford to take a vacation in a country where the language is spoken, do it. If an opportunity presents take advantage of it.
Have Fun
Language learning is supposed to be fun. If you are torturing yourself with your current method maybe it is time or reevaluate your method and come up with something that is fun and works.