The FAQ points to the Download page.
http://download.wikimedia.org/enwiktionary/ should have the latest copy of the main namespace.
The cleanest navigation page is http://download.wikimedia.org/. Just download a *-articles.xml.bz2 file and some software to read it.
The enwiki page list all downloads for English.
There are download tools.
Windows software to read that data can be found here, e.g. the BzReader offline reader.
The one thing this does not address is how you can edit your collection to mark entries 'done'. There is a possibility to set up your own wiki and import the data into that, so that you yourself can edit it. I leave it up to you to go through the FAQs for that.
Another approach would be to process the XML files further and extract the data into some tool that you are comfortable with, but your question gives no indications about your experience in this area.
But please note:
Warning on time and size
Before attempting to download any of the Wikis or their components, PLEASE READ CAREFULLY the time and space scale information below! Because of the size of some file collections (TERAbytes), downloads can take days, or even weeks. (See also our FAQ on the size of the English language Wikipedia dumps.) Be sure you understand your storage capabilities before attempting downloads. Notice (below) that there are a number of versions that are "friendlier" in size and content, which you can customize to your scalability by using or not using images, using or not using talk pages, etc. A careful read of the info below will save a lot of headaches compared to jumping right into downloads.
I think you are underestimating the amount of data that you are dealing with, and the time required to set up all this.
How about buying a cheap (second hand?) paper dictionary that you can always carry with you, browse through randomly, noting words of interest (i.e. you may have encountered them earlier and/or not understand them exactly) in which you mark the words you know with a highlighter?