This stuff takes practice in general. Note-taking and spaced repetition help. Maybe don't worry about best practices or "the right way" to do it at first -- anything's probably better than nothing.

One thing that can help is to always read with a goal in mind. Reflect on what you really want to get out of whatever it is you're reading. Maybe don't just "take notes" but try to build a concise summary, map out the main argument, or write a review. Look for something to bring up in conversation with a friend, or come up with three questions to ask the author. Always be noticing your confusion. Read the end-of-chapter problems before reading the chapter. (Of course it could be bad to read with the specific goal of answering a single narrow question, if you end up just scanning for the answer and missing out on other value.)

I'm reminded of an OB post from a couple years ago: http://www.overcomingbias.com/2010/05/chase-your-reading.html

Use your imaginary friend whom you try to explain the gist of what you've just read when, say, brushing your teeth. :)

(Actually writing down an explanation would certainly be more effective but not as fast).

Making good cards for spaced repetition may help.

I've once been told the keys were an arcane ritual called "taking good notes" combined with the Level 5 Bayesjutsu called "Condense your probability mass" and "Test your predictions".

Attempts at piercing the veil of secrecy and/or locating a tutor or manual on these rituals and techniques have proven fruitless to date. Reports of such findings have all turned out to be hoaxes or were never confirmed, potentially as the finders became part of the group which maintains the secrecy.