I know exactly what you mean. I learn by doing, too. I read the same books you have still didn't feel like I had a grasp on programming in Ruby. I search for a long time for something that would teach and require me to figure out an exercise using what I just learned. That's the best way I retain knowledge and also makes sure I really do understand how things are working. Following along as they tell you how they solved a problem just doesn't push me the way I like to learn.
Ok so on to my point... Check this out: http://pine.fm/LearnToProgram
I have not bought the 'revised' and 'expanded' book, but I'm on the last chapter of the website (after like 5 days) and I feel like I have learned and retained much more than I did after reading the pickaxe. He also uses complete code chunks so it made it easier to see the whole picture (I also forced myself to type in by hand every chunk of code and run it myself, helped to memorize syntax that way).
I'm now hoping to find something similar on Rails... something that teaches and then has increasingly difficult exercises for you to figure out on your own along the way.