I would say the next step is definetly to learn vocabulary! familiarize yourself with the basic and most common vocabulary that is used every day. Examples of this include words like " 사람 ( people) and 날씨 (weather). In my experience of mastering Korean, Vocabulary is one of the most important parts, and then you can gradually learn basic grammar sentences, but don't focus on any intense grammar at the first stage.

I attended "free" beginner lessons by Korean consulate in Canada but I'm still not an expert and also a bad learner, because I have been "inactively" learning Korean for more than 2 years and still did not reach intermediate level yet but I'll just write my opinion, I hope it might be helpful to you. I don't say that you should not learn vocabulary but we cannot also say that is the only second step. As we take more steps, at each step we add up more learning activities in language learning, that's what I realized all these years of language learning. What I mean is, first step was 'learning hangul', 2nd step could be of 2 or more activities like learning vocabulary, learning greetings and/or few expressions and may be also learning some basic grammar like the particles (subject/object/topic particles). Then you can start learning the numbers, days. Remember, as you keep learning you will be learning some vocabulary at the same time because we will come across so many words in the example sentences of lessons we browse in internet. As Mojave mentioned, TTMIK (talktomeinkorean.com) is a great for some simple and effective lessons, they are pretty organized by levels too. Unfortunately, they were not very effective for me as I didn't practice consistently. You might also want to check blogs of other Korean language learners to see how they are learning, for sure we can pick up some tips from here and there. Shanna has a popular blog here: http://www.hangukdrama.com/ this is my blog : http://prashlearnskorean.wordpress.com I hope that helps! Good luck!

I am a few months ahead of you in studying Korean. I too learned Hangul first. Then I moved on to grammar, wanting to learn the basics of past/present/future and expressions like "I want to.." and "I can...". But I avoided learning vocab at the time. I think that was a mistake and I am actively trying to build my vocabulary now. If you learn a lot of basic vocab early on, when you examine example sentences, you can pick those vocab words out and what you are left with are particles, conjunctions, expressions and tenses, which makes learning those easier. Just keep a healthy diet of vocab as you learn basic grammar. It will make things much easier.