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