The most important thing to remember when beginning to study Philosophy is that what you are doing is learning skills as well as acquiring information about what the philosophers of the past have said or written. It isn't a spectator sport. You are learning to be a philosopher at some level not to parrot philosophers' ideas. Even when you are reading the work of long dead thinkers you will be expected to engage with their ideas, reconstruct their moves in argument, formulate criticiss of their work, and so on.
There There are four principal ways to study Philosophy:
1) Active Reading
2) Active Listening
3) Active Discussion
4) Active Writing
My book Philosophy: The Essential Study Guide (I wanted to call it The Four Habits of Highly Effective Philosophy Students, but my publisher wouldn't let me), discusses all of these. There is an extract from the book available here.