First, pray. When I get down into the study, I think it depends on the type of literature that I am reading. But generally, if possible, I like to read a book in its entirety(in a single sitting if possible) first to kind of get a bead on the flow of the book. This works great particularly with the epistles and gospels since they tend to be shorter than many of the Old Testament books. Then I like to go through passage by passage. When taking up a new section, I try to review what came immediately before and after, so that I understand why the author is saying what he is saying in that particular passage. I also like to pay close attention to anything that is repeated (repetition is a big clue as to the emphasis and point of the author), or expounded (Psalms and proverbs and even prophetic literature tends to say something and then amplify or to make contrasting statements to make a point). Sometimes its a good practice to make an outline of the passage two, especially with Paul’s epistles since he seems to be much more linear in his thinking than John for example.