What's important is to follow a structure. Usually music theory is taught in a specific order because certain rules and ideas to not make sense until you understand a few seemingly unrelated points first.
The main components of music theory are Rhythm, Melody, and Harmony.
You should start out with Rhythm, which makes up beat (the tempo of the song), meter (the length of each measure), and duration (length of notes and rests). Percussion exercises are the best place to teach yourself rhythm. Once you understand the different meters (4/4, 3/4, 6/8, 2/4, etc.) you can also start to pick out the beat of a song. A good way to help wrap your mind around how they feel is to find a song in 3/4, then a song in 6/8. Each measure will have about the same length and often can contain similar notes, but they'll feel different. 3/4 feels like it has three distinct pulses: 1 2 3, 2 2 3, 3 2 3, 4 2 3. 6/8 feels like it has two distinct pulses: 123 123, 223 223. That level of detail doesn't really matter that much if you're dance music (which is basically all in 4/4), but it can give you some ideas for interesting rhythmic patterns to lay into your track.
From there, move onto Melody: the pitch of a note. This is where taking the time to understand sheet music can prove useful, in my opinion. This is where you learn the names of the notes, accidentals, and the the parallel scales (major and the three minor scales). If you don't already have one, think about investing in a MIDI keyboard so you can start to learn how to play C Major and A Natural Minor. If you can learn those two scales, you can just transpose and instantly have a major or minor melody in every single scale.
Bridging between Melody and Harmony is when you should really start learning about intervals - the distance between two notes. Start doing interval ear training (musictheory.net has a great one) and start seeing if you can transcribe melodies that you hear from songs you like by intervals alone.
Harmony is chords. Learn about all the different chords, about chord progressions, about voicing your chords and messing with inversions, and start going down the rabbit hole.
Like Lydian said, a lot of the more advanced stuff beyond basic Harmony is going to need more dedicated schooling. It can't hurt to look for a tutor on craigslist, just so you have someone to bounce your questions and concerns off of! The big benefit of schooling for theory is that you have someone to steer you away from false conclusions and some of the tricky bits about music like F flat and B Sharp. If you can at least get up to chord progressions, you have enough knowledge of theory to make about 95% of dance music. Be sure to take your time, ask lots of questions, and don't get discouraged.
