I taught myself to type Korean by trial and error as well, and had similar problems to you (e.g. figuring out how to get double letters).

This was back in high school, on a bootleg copy of a word processor called, unpretentiously enough, "Korean Word Processor".

I was a bit surprised to find that after several years, when I tried typing Korean on NJStar's IME, my finger memory still knew where most of the letters were.