I love this recommendation for beginners: You should study tactics. After that, you should study tactics some more. When you think you have studied enough tactics, then you should study some more tactics. 
You can do that with the tactics trainer here at chess com or at chesstempo.
You should also analyze all your games with the computer, and see your mistakes. Google "Arena GUI" and Chesslogik for that.
If its possible, try find a OTB coach that can help you a little bit.
I think you should:
Play alot of OTB tournements, and analyze the games.
Read books to:
Try get some skills in the endgame, try understand some positioanal things in the middlegame and sharpen your tactical eye.
The books i suggest for these 3 topics is:
The old "Middlegame" by Dr. Euwe. This is a very nice books, that analyze some positional stuff. There is chapters about the pawn stucture, open files, etc.
Fundamental Chess Endings. A endgame encyclopedaedia that will (if you study it well) give you some serious skills in the endgame.
The Complete Chess Workout. 1200 very challenging puzzles. Not just easy puzzles that takes 15 secs to solve, challenging puzzles from the beginning. John Nunns tactic book is an alternative.
You could study now, but it sounds to me like you are hesitant or have concerns or just aren't really looking forward to "studying" something which is at the moment fun. I think as long as you're having fun you should do what you're doing. You asked at what point should you get coaching/study/learn openings/etc. I think you should do that when you stop having fun/stop improving on your own. They go together. Improving is fun, and if you keep improving you'll keep having fun, you just will.
When you stop improving, when your limitations start to bother you and you aren't sure how to go forward, or when you seem to run into the same kind of situation over and over and don't know why or how to change the result -- that's a good time to hit the books.
Of course if you're excited about studying chess now, get to it. Do what you like. you can graze around in book stores and look for stuff that interests you -- chess.com is awesome for grazing... go grazing in the chess mentor, videos, and articles -- you'll pick up valuable stuff.
If you decide you do want to compete in tournaments more and winning results are important to you and you need to study -- I recommend spending the vast majority of your study time on two things:
One: Tactics -- solving White to move and win positions -- learn basic checkmate patterns (there's a chessmentor course on them) -- strong tactics is what sets up everything else... a lot of tactics is just having seen the kind of position before. The first time I saw a Queen-sac smothered mate pattern I thought it was the most ingenious freaking trick what kind of genius could come up with such a thing!? Turns out once you've seen it once though, its pretty easy to spot the next time around, and it comes up a fair amount... study tactics.
Two: Middlegame strategy -- This isn't going to stifle your creativity, but expand it... learning strategy boils down to learning what kinds of interesting good things you can with your pieces besides just attacking an obvious target. (If there is an obvious target, by all means, attack it... but of course sometimes there isn't.)
there's middle game stuff on chess.com, a highly regarded middlegame book coming out in a new edition is Jeremy Silman's -- How to Reassess Your Chess,
J. Silman also wrote a book called The Amateur's Mind. Many people think this is the best introduction to How to Reassess Your Chess. It will probably get you thinking about how to play chess in a new way, it's pretty exciting. I don't think you'd go wrong with either book.
In the 20% of the time you aren't studying tactics or middlegame you can work on openings and endings. Build on what you already know.
But don't change a thing if you're having fun now.
I've actually learned quite a bit from the video lessons here. It helps to get a verbal walkthrough vs. just reading about it...or seeing it.
2 great books
Winning Chess Tactics by Yasser Seirawan
Pandolfini's Endgame Course - I acutally went though this book with an analysis board on my ipod or computer. Just manually inputed everything as I read through the moves. I had trouble reading through it just textually but after I worked through page after page while utilizing an analysis board I comprehended much better. I worked through the book in small sections because it gets redundant and tedious. 4-5 endgames every other day and before you know it you've gone though half the book.
To echo the other entries here: mostly tactics. This is something I've put some thought into, and I've posted how I use the chess.com Tactics Trainer to improve: http://www.chess.com/forum/view/suggestions/tactics-trainer-use-suggestion
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