1. Apply it to your instrument - Most of the time when we learn theory it's an abstact idea. It may be written down or explained to you. The most important thing you can do is apply any new ideas right to your instrument. That means if it's a new scale, chord then apply it to your instrument. Even if it's something like an abstract idea, there are ways that you can apply it so it makes sense on your instrument.
2. Commit it to memory - Learning music is accumulative. It's important that you internalize one concept because other concepts will likely stem from that. For example when learning scales, commit these to memory because that knowledge is useful in so many other areas.
3. Make learning theory a regular part of your practice sessions - There are many areas and facets to theory. Most of it isn't tough to learn but does take time. If you make learning theory part of your regular practice regimen, the cumulative effects start to add up rather quickly.
4. Always do exercises from textbooks and learning materials - Learning about music theory without doing the exercises is like learning to cook without entering the kitchen. If you've taken the time to get and read through a book on theory, go through all of the exercises. Not doing so is a waste of your time.
5. Learn piano - One of the best ways to make sense of music theory is to learn to play the piano. We're not talking about being a virtuoso here, just a working knowledge of the instrument will do. The piano is laid out in such a way that it makes perfect sense when learning things like scales, intervals, chord construction etc. It's also one of the best instruments to compose and arrange on since it's relatively easy to write a melody and accompaniment at the same time.
6. Apply it to the real world - I really started to get to know theory inside out when I had to show students how what we were learning applied to the music that they were listening to. I had to apply conventional theory to dance/club music, pop, metal and everything in between. All theory applies in one way or another. Once you get your head around what's going on in any song, it makes it a lot easier to compose, improvise and memorize.
7. Learn the fundamentals first - When I studied music at university, I wanted to start writing symphonies right away. But there were quite a few pre-requisite courses that you had to go through first. All of these pre-requisites helped in putting my compositions together later because there were so many principles involved. Make sure if you're just starting out to learn the fundamentals. It might be boring and it may nor be obvious how it applies at first, but have patience, it will.
8. Sing and play all exercises - This is another way of putting the idea of making sure everything you learn is applied. If you're reading about a new scale or chord progression or whatever, it's important that you turn it into sound; play it and turn it into sound. The best way of making sure that the sound gets into your head is to sing it. Every musician should sing. Singing puts the sound in your head like nothing else. If you've written some counterpoint, a new melody, a new chord progression, sing it and play it. You'll soon start to recognize chords and intervals without any need for an instrument.
9. Apply the theory you learn to your style of music - Again with the application. If you're a metal guitarist and are just starting to learn modes, try and apply them to metal and the specific style of music you're into. Also, go back into the songs you know and see if you can find some examples of what you're learning. This helps in getting to know a style really well and will help in your writing and your ears.
10. Don't use theory for theory's sake - Some musicians get into the trap of writing with their textbooks open. They revel in the fact that they've been very clever in using all of the latest hip voicings and scales. This is why I stress making sure you listen and turn everything into sound. It's great to push the envelope as far as sounds are concerned, but make sure you're doing it to express yourself and convey some emotion, not to impress other theorists and fellow musicians.