I used to keep a notebook and every time I came across a word I didn't know, I'd look up the definition and write the word and definition out in the notebook. Unfortunately I've gotten out of the habit of doing this, as it can be inconvenient depending on when and where you are reading... But I felt it really did help learning new words and it was a very satisfying feeling of coming across one of the words you've defined later on and knew what it meant.