Many of the fundamental optical and electronic properties of atomically thin transition metal dichalcogenides are dominated by strong Coulomb interactions between electrons and holes, forming tightly bound atom-like states called excitons. Here, we directly trace the ultrafast formation of excitons by monitoring the absolute densities of bound and unbound electron hole pairs in single monolayers of WSe2 on a diamond substrate following femtosecond nonresonant optical excitation. To this end, phase locked mid-infrared probe pulses and field-sensitive electro-optic sampling are used to map out the full complex-valued optical conductivity of the nonequilibrium system and to discern the hallmark low-energy responses of bound and unbound pairs. While the spectral shape of the infrared response immediately after above-bandgap injection is dominated by free charge carriers, up to 60% of the electron-hole pairs are bound into excitons already on a subpicosecond time scale, evidencing extremely fast and efficient exciton formation. During the subsequent recombination phase, we still find a large density of free carriers in addition to excitons, indicating a nonequilibrium state of the photoexcited electron-hole system.