It all depends on what kind of still you are referring, and how different people prefer in their own ways. Usually my personal preference is to go through the materials by reading them few times. Because at first, you may not understand everything, and get the entire picture at one read. So first try to get a collective idea , and then review it again and again to understand the concepts.
Once you have an understanding of the concepts, you should put up a plan to use it. Because that will help you to make your understanding solid. Practice makes man perfect. So keep practicing different stuffs.
And you may face some challenges, as well. You can search in different forums to get some answers, that can help you move ahead if you are blocked.
Once you practice one complete assignment, you will have much better confidence or mastery.