As you go through a piece of philosophy, it is very important to engage with it: instead of just letting the words wash over you, you should make a positive effort, first, to understand and then, to critically assess the ideas you encounter. On your first read-through it is a good idea to try to formulate a high-level understanding of what the philosopher is attempting: What are the main claims? What is the overall structure of the arguments behind them? At this stage, it can be useful to pay explicit attention to section headings and introductory paragraphs.
Ideally during a second reading, you should try to reconstruct the author's arguments and sub-arguments in more detail. To help yourself understand them, consider jotting down their outlines on a sheet of paper. At this point, it can be extremely fruitful to pay attention to special definitions or distinctions used by the author in the arguments. It is also helpful to consider the historical context in which the philosopher wrote, and to look for connections to ideas found in other philosophical works.
Finally, on third and subsequent readings, it is valuable to expressly look for objections to the writers argument (Are the premises true? Is the argument strong?), unclarities in position statements, or assumptions they depend upon, but do not argue for. I make these suggestions partly because the process of critical assessment is helpful in coming to understand a philosopher's work; but more importantly for the reason that—perhaps contrary to popular opinion—philosophers are typically playing for very high stakes. When philosophers write about whether God exists, whether science is a rational enterprise, or whether unfettered capitalism creates a just society, they are seriously interested in discovering the answers to these questions. The arguments they make, if they are good enough, will be strong reasons to believe one thing rather than another. If you are reading philosophy properly, you must sincerely join the debate and be honestly prepared to be persuaded—but it is also important not to let yourself be persuaded too easily.