I find I learn better but varying how I learn - sometimes I read, sometimes I read outloud, sometimes I read and make notes. This time round for my last exam I actually made audio notes and listened to them on my way to work every morning for about 3 months on my iPod
Like has been said it is whatever works for you.
I had little applications for each chapter that I would make that specifically used the learning objectives. Nothing too fancy or I felt it was time lost. So for collections: try making a small console app to store a list of names and then adding the ability to sort them ascending, descending etc. For security create a series of methods with different security requirements and then run the app calling the methods to see how they react in different situations. And so on...
Practical experience is very important I think.