I would say play some riffs record them and then and play over them.
I dont use theory in the way most people would. I just learn scales, arpeggios and chords and just cobble them together until they sound good. The only drawback with this 'approach' is improvising.
I did have a go at theory and realise i play in phrygian a hell of a lot when soloing which was obviously subconscious as i didnt know what i was doing i.e the theory behind it. I guess its cool because it can sound eastern, classical, spanish, dark and doesnt seem 'conventional'.