I am a near-to-be graduate student from Computational Engineering. However, it wasn't what I expected from my career. I want to be a mathematician.There are a number of computer scientists and even complexity theorists who started out in "the real world," realized it didn't feel fulfilling and went back to graduate school and on to successful research careers. It's not an easy road but it can be done.
Computational complexity seems incredibly interesting, and I really want to take part in this amazing field. But because I'm an engineer I lack the basics to do any formal or proper research. I feel like I made the wrong career decision, even though I'm not bad at it and have a good job.
So, even though I'm behind on the math schedule, I really want to participate on some form of research. I'm unsure on how to proceed, though. I'm not versed enough in Math to be of real use and I don't feel like going back to school just yet.
What would you recommend on my position?
If you are not ready or able to go back to school right away you should start exploring complexity on its own. Start reading a textbook (like Arora-Barak), read some lecture notes and when you are ready, try reading some of the latest papers in the field on ECCC and ArXiv and try to tackle some of their open questions. If it still excites you definitely consider graduate school. Worst case you'll end up back in industry and twenty years from now you don't want to regret choices not made today.