The whole point is that, unless you have a substantial enough budget where you can delegate the "technical" tasks to your creative partners (DP, PSM, 1st AD, H/MU, Production Design, Editing, Sound Design, Legal, etc., etc., etc.) you will have to handle all of these tasks yourself.
I have a background in music engineering, and when I migrated to audio post it was at least a half dozen shorts before I felt that I had a handle on the prep work and the workflow. It took a lot longer before I felt I really had it down and was able to work creatively and efficiently. That's just one film discipline, and I already had a solid understanding of the technology.
BTW, when they say "go out and shoot something, anything" the implication is that you literally have zero budget, so use your camera phone, or your Uncle Phil's old camcorder or whatever you can beg or borrow and shoot trains going by, people in various situations, weather & wildlife and so on. Shoot a short skit with a couple of friends. Play with the footage in your editing program and effects. In other words, get your ass out there and LEARN.
I always advocate working on other projects. This is a zero budget way to become more familiar with the various aspects of filmmaking and start building your network, which is just as important. You'll watch lots of good stuff happen, and lots of screw-ups (take special note of those!). You'll meet all kinds of people, from really cool to delusional morons. You'll learn from them all.
Then spend a some money on a short. That one DP had a good eye. The PSM/Boom-Op on that shoot last month is pretty decent within the limitations of micro-budget. And that girl a few months back would be great for the __________ part. You get the idea; you've already got a basic grasp on the local filmmaking scene, they've already got the gear and more connections, and you can just direct and produce, because you want to direct, right? You spend your money on talent and taking care of your cast & crew, not gear that you will rarely use.