Learning is a skill, hence we must engage in "learning to learn." Fortunately, there are now many excellent resources on how to learn.
As an introduction to the psychology and practice of learning, I recommend +Stephen Chew on Learning. Watching these videos is is the best 30 minutes you can invest in learning. (Also available as slides.)
- Beliefs That Make You Fail... Or Succeed
- What Students Should Know About How People Learn
- Cognitive Principles for Optimizing Learning
- Putting Principles for Learning into Practice
- I Blew the Exam, Now What?
There's also some great books on the topic. Brown et al.'s Make it stick: The Science of Successful Learning is engaging, fascinating, and very useful. Dave Ellis' Becoming A Master Student is engaging and comprehensive and I appreciate the online complement. However, for more focused (and inexpensive) reading I highly recommend Cal Newport's How to Win at College (advice is broken into 75 short tips) and How to Become a Straight-A Student (covering study basics, quizzes and exams, and essays and papers). I also read his blog Study Hacks.
I've also documented some learning best practices for my students.