This might sound like questionable advice, so read at your own risk...
What I like to do when learning something new is start at a very advanced stage, just read through source code, the more advanced books, etc. without really worrying about catching onto any of it. So after you've done this for a week or so you really don't feel like you've learned anything at all but when you go back and pick up a beginners book, you find yourself focusing a lot better. You'll recognize things and know that there are real world applications for each of the examples and you'll remember them far better. Oh yeah, and like everyone else says do the examples, make up problems to solve on your own, and practice, practice, practice. Hanging around here doesn't hurt either :)
Hope this helps
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