Well, I've been self-taught for 13 of my maths modules, and was taught online for FP3 and by the local university for FP2. I think it looks pretty good on the personal statement, and I personally prefer to self-teach, as it means you can take things at your own pace (I sat in a Core 3 lesson for a few weeks. It was unbearable. The schedule in my school was: 6 hours spent on learning the Chain Rule, and another 15 to mess around - ahem, practice questions - in class...
).
It depends what you're trying to get out of it - an extra qualification (Further Maths? Additional Further Maths?) or if you are trying to simply learn it for the sake of learning it. There is also, perhaps, that if you take more modules, you're more likely to get 90% on three of them and get an A*, as long as you don't find yourself with too much work, and end up missing some other grade instead.
Of course, there's never harm in learning! Personally, I'd say the pros outweigh the cons