Thinking of chess improvement

What's the best way to improve at chess?  We've all asked ourselves that question a thousand times.  If it were any other subject besides chess, we'd probably already know the answer : follow the path to wisdom in that field that has been blazed by others.  For some reason though, the vast majority of us approach studying and improving in chess in the most haphazard and inefficient manner possible, trying everything except the tried and true methods that more experienced players advise, and the methods that are applied in almost every other field of knowledge. With chess, most of us skip around.  For example, we start studying a particular part of the game and then jump to something else.  Or we read the first three chapters of a book, and then start a different book.  We also study material that's far too advanced for us at that time.  For example, we spend months studying an advanced opening monograph when we haven't mastered basic opening theory.  Or we read My System when we haven't studied basic positional play first.  Or we read The Art of the Attack when we haven't studied basic tactics first.