I made a presentation of part of the Sequences for other people. This made me look at the list and short descriptions carefully, re-read the article where I did not understand the short description; then I thought about the best subset and the best way to present them, and I made short notes. This all was a work with the text, which is much better for remembering than just passive reading. Then, by presenting the result, I connected it with positive emotions.

Generally, don't just read the text, work with it. Try to write a shorter version, expressing the same idea, but using your own words. (If you have a blog, consider publishing the result there.)

Thats a complicated and partially open question, but some low hanging fruit: Try to link the sequences to real life examples, preferably personal ones as you read. Make a point of practicing what you theoretically already know when it comes up IRL, you'll improve over time. Surround yourself with rational people, go to meetups and/or a CfAR workshop.