i think a lot of what it comes down to for me - and maybe you - is mental discipline (staying focused for more than an hour without straying), knowing that it is very common for it to be tough, and learning how to play with math and explore it. i was never taught those things (or at least i never learned them), and so i have had to learn them the hard way. maybe you suffer from some of the same hurdles? try and overcome them, it's worth it.
as for writing proofs, one of those mathematicians got me interested in this book:
http://www.amazon.com/How-Prove-Structured-Approach-2nd/dp/0...
The usual sequence is [1] followed by [2].
Augment with [3] and [4] as needed.
One negative thing about Coq/Agda/Idris is they don't have a satisfactory encoding of typeclasses [5]. This is a problem in general with all dependently typed languages. Proof obligations get "churned" by changing code and the only tool to address that is extremely general proof terms combined with proof search. The best proof search is Coq, but the code extraction is heartburn-inducing for Haskell users.
Whereas in Haskell, we get extremely lightweight and type-safe code refactoring because of the way in which we leverage typeclasses and parametricity. This turns out to be very valuable as your projects get more serious.
That said, still entirely worthwhile to learn Coq or Agda.
By the way, this [6] is how I teach Haskell. Working on a book as well.
[1]: http://www.cis.upenn.edu/~bcpierce/sf/current/index.html
[2]: http://adam.chlipala.net/cpdt/
[3]: http://cheng.staff.shef.ac.uk/proofguide/proofguide.pdf
[4]: http://www.amazon.com/How-Prove-It-Structured-Approach/dp/05...
[5]: http://wiki.portal.chalmers.se/agda/pmwiki.php?n=ReferenceMa...
http://www.amazon.com/How-Prove-It-Structured-Approach/dp/05...
More good advice at http://scattered-thoughts.net/blog/2014/11/15/humans-should-...