1. What's your foundation?
For MFE, you'd want 3 levels of calculus, 1-2 Linear Algebra, 1-2 Calculus based probability, and differential equations as a bare min for math. For coding, ideally python at the level of build your own stuff with ease, C++ will help make you stronger, but mainly used in high frequency applications. I did several years of night classes at a local university - to [USER=22081]@IntoDarkness[/USER] ' point, these can be beneficial in and of themselves.
2. What's your motivation?
If you have goodwill and a solid career track in your current gig, do you need the paper to transfer? The degree is worth it from my point of view to ensure you can transfer (in addition to the knowledge you get). However, I know some brilliant folks who have absolutely pwned coursera / edX, etc and come out with very solid skills.
3. Have you seen "The Interns" with Owen Wilson and Vince Vaughn?
This movie has come up in every school / internship interview. If the interviewer didn't raise it, I did to break the ice a bit. As mid-career, if you go full time, you'll face the awkwardness of the summer internship. I knew I'd be taking a pay cut (short term) to transition, but it's not clear employers know that I know that, and they might just think I'm oblivious. Which is possible. ..
4. Potential Approach
Assuming you have or are close to the math / coding pre-reqs, would your employer sponsor you? That would be the ideal approach from my point of view. Plenty of excellent programs on the west coast. Well, 2 that I know of, but they are really good.
