This is pretty specific, but a thing I wish I had done when studying is to try spaced repetition software seriously for learning the course material.

Assuming from the start that teaching is probably useless, I'm responsible for figuring out good ways to learn the material, and the faculty is there mostly to specify the course contents and test that I've ended up learning them correctly might have helped. I found undergraduate math lectures completely unfollowable, but was able to figure out most things from working through textbooks with pen and paper. I still suspect that lecture-centered courses on any topic involving learning new formalisms are some kind of historical mistake, but ymmv.