OR! Play Dynasty Warriors exclusively in Japanese!
That's the source of what little Japanese I know, anyway... useful, day-to-day phrases such as "I'm coming for the enemy general's head!", "Enemy officer defeated", "An ambush?!?!?!", "You will not take over our well-defended depot!", "What a retarded plan!", etc.
You also learn the range of politeness (by far the hardest part about Japanese, IMHO)---Zhen Ji and Diao Chan use the super-polite, super-feminine forms, while the likes of Gan Ning and Lu Bu contract their verbs like mad, and throw in the occasional expletive as well.
Joking. I actually agree with FuguNabe---Romaji is fine, but the sooner you learn kana, the better. It's pretty painful, but for one thing, if you know your katakana, you can figure out all the English transliterations (of which there are many), as well as the sound effects in manga.
"Whatever you do, don't fall off the bridge! It'll be a pain to try to get back up again." - Private, DW 8