You want to play slowly enough that you are just barely not making mistakes, and notice any mistake and practice that specific passage or figure until you can play it correctly. Maybe not everything needs to be perfect before you move on -- sometimes you want to build up an overall structure before filling in all the details -- but you will have to spend time unlearning mistakes if you just play the piece start to finish over and over again without paying attention to what you're really practicing.
My teachers never put it in such LW-y terms, but this is standard folk wisdom. This, and that mistakes aren't random, with practice decreasing the standard deviation of where your finger hits or something, but are instead usually the output of buggy mechanics. My teacher's teacher liked to say he's thankful for every mistake he makes, because it means that's one more mistake he never has to make again. A former LWer also wrote about this.
See also: Boring Advice Repository, Solved Problems Repository, Grad Student Advice Repository, Useful Concepts Repository, Bad Concepts Repository
I just got back from the July CFAR workshop, where I was a guest instructor. One useful piece of rationality I started paying more attention to as a result of the workshop is the idea of useful questions to ask in various situations, particularly because I had been introduced to a new one:
"What skill am I actually training?"
This is a question that can be asked whenever you're practicing something, but more generally it can also be asked whenever you're doing something you do frequently, and it can help you notice when you're practicing a skill you weren't intending to train. Some examples of when to use this question:
Many of the lessons of the sequences can also be packaged as useful questions, like "what do I believe and why do I believe it?" and "what would I expect to see if this were true?"
I'd like to invite people to post other examples of useful questions in the comments, hopefully together with an explanation of why they're useful and some examples of when to use them. As usual, one useful question per comment for voting purposes.