I am actually in a similar situation myself in regards to potentially walking away from my traditional career to change direction, and doing so with no certain assurance there will be a prize at the other side.
For me I've been in my industry over 10 years entirely in large corporate pursuits which I've grown to really not enjoy. For me I've actually already turned in my notice and am serving it now.
I normally am a huge advocate of never leaving a job until you have something else lined up. Me telling you this while I still agree with this advice 100% would be hypocritical as I'm doning exactly the opposite.
Sometime breaking away from reliable work isn't necessarily a bad idea as long as there is a GOOD plan B and you've made proper preparation to realistically accommodate plan B.
For example making sure you have sufficient reserves to float you months if not years in case that friend you know will hire you doesn't have an opening or money is tight. Once you reach a point you have to wonder how you'll pay your bills next month things are already dire leaving you little choice but to take whatever you can find. These are the circumstances that lead you to take the most miserable dead end jobs that'll just suck all motivation out of your life.
Now if you have a number of months you can live with immediate danger of exhausting funds you have the chance to scout around, acquire skills, and pursue opportunities to potentially find more fulfilling work.
(In my case I've built up reserves and have the advantage of effectively being a minor celebrity in my local area in my field, so I know in a pinch I could get a job within a week)
Guided or self learning
This heavily depends on both the details on what and how you plan to learn and who your target employer is. Some employers see classes as no better than self learning, others see self learning as worthless. Some skills cater well to one or the other as well. Personally in hiring I view having both as best. (you took classes, than expand on your own) otherwise I've found most people favor class learned over self learned. (just because you have no idea how good or bad self learned will be while class learned is arguably more reliable)
What should you do?
Only you know your personal situation my normal advice would be find time, focus on one skill at a time along side work after hours, etc. If that's simply not possible make sure you have everything in order you can survive being unemployed for a significant duration of time. You also want to make sure you have a fallback plan incase this venture doesn't work out.
While I still recommend working around your job, if that's simply not realistic you have to decide what level of risk you're willing to take, and plan accordingly.
Don't be rash
I don't know how long you've been planning this, but for my example, I've been planning my move almost three months. As such I can approach this venture with very little risk. I have a lot lined up to make my next move the moment I'm free to do so, I also have things lined up should things not work out I can fallback with nothing truly wasted except time.
I'm not saying you shouldn't act until you've planned for months, rather make sure you've got a plan that you feel comfortable with. If you can't get out of bed in the morning and say "this is the right idea" you probably need to put more thought into it... (Not that there won't be concern, nervousness, or anxiety, just if you're question if you should, then you probably shouldn't)