Foundation models trained on web-scale data have revolutionized robotics, but their application to low-level control remains largely limited to behavioral cloning. Drawing inspiration from the success of the reinforcement learning stage in fine-tuning large language models, we propose a two-stage post-training approach for robotics. The first stage, Supervised Fine-Tuning (SFT), fine-tunes pretrained foundation models using both: a) behavioral cloning, and b) steps-to-go prediction objectives. In the second stage, Self-Improvement, steps-to-go prediction enables the extraction of a well-shaped reward function and a robust success detector, enabling a fleet of robots to autonomously practice downstream tasks with minimal human supervision. Through extensive experiments on real-world and simulated robot embodiments, our novel post-training recipe unveils significant results on Embodied Foundation Models. First, we demonstrate that the combination of SFT and Self-Improvement is significantly more sample-efficient than scaling imitation data collection for supervised learning, and that it leads to policies with significantly higher success rates. Further ablations highlight that the combination of web-scale pretraining and Self-Improvement is the key to this sample-efficiency. Next, we demonstrate that our proposed combination uniquely unlocks a capability that current methods cannot achieve: autonomously practicing and acquiring novel skills that generalize far beyond the behaviors observed in the imitation learning datasets used during training. These findings highlight the transformative potential of combining pretrained foundation models with online Self-Improvement to enable autonomous skill acquisition in robotics. Our project website can be found at https://self-improving-efms.github.io .