Ας μην ξεχνάμε και το "the hard way", που σημαίνει περίπου το ίδιο: μαθαίνω κάτι από πρώτο χέρι, δεν βασίζομαι στις εμπειρίες των άλλων.
learn (something) the hard way = to obtain knowledge or understanding through experience. 
We'd never done anything like this, so we learned how to build a house the hard way. 
Since he won't take advice from anyone, I guess he is going to have to learn the hard way.