Listening effectively is an extremely important skill when learning a new language. While watching a show with subs can help you get used to and comfortable with the sounds/tones, speaking patterns, and certain words, it won't solve your need for a basic understanding of it first. After you begin learning the rudiments of its grammar and vocab then I would say to watch the shows. In the beginnings of teaching myself Japanese, Korean, and Spanish, I found that listening to the music of the language really helped out too but again it was only after I learned some of its rudiments. And also try to surround yourself with as much things as you can find in Mandarin (for ex: books, movies, news articles, etc.) and try to talk to people who are fluent.
At first learning those languages I mentioned felt really overwhelming but I overcame that feeling by reminding myself of why I wanted to learn those in the first place. And it gave me motivation, a drive to want to continue with my studies. I think that's one of the most important things, motivation, because learning a new language can be easier with it.
