That is what I did. Simple little projects that did only one or two things. After I had a basic understanding of how the classes worked, I then started more complicated (to me) things.
This is where I learned the most. Implimenting arrays, Jlists, GUI and all that. I spent most of my time out here working through my problems, but once on the other side and could look back at how I started, how the problems were solved, and how it all works, I have such a better understanding.
That has always been my process for learning though, yours may be different.