Exactly. And to take it one step further, choose one industry you are interested in. That way you will gain invaluable domain experience as you add relevant portfolio projects.
If you don't have an industry in mind, you can use a site like glassdoor.com and search for data scientist positions by city and industry to get a feel for demand.
Usually MOOC for resume don't help as everyone does them. The advice that I found useful for resume building is working on projects that you can catalog in a portfolio.
With regards to gaining math skills, this upcoming MOOC from Microsoft on EdX looks promising[1].
For those interested, Raj Chetty, the young economist leading the study, taught course titled "Using Big Data to Solve Economic and Social Problem" that is available on Youtube[1].
The popular course is taught as an introduction to economics for Stanford freshman.
There's lecture notes available from an MIT open course just on pricing that I found helpful. Below are all of the lecture notes [1], and the summary lecture note [2].
If you don't have an industry in mind, you can use a site like glassdoor.com and search for data scientist positions by city and industry to get a feel for demand.