Martin Luther offers these insights on how to study theology.
Seek the Spirit’s guidance
First, you should know that the Holy Scriptures constitute a book that turns the wisdom of all other books into foolishness, because not one teaches about eternal life except this one alone. Therefore you should straightway despair of your reason and understanding. With them you will not attain eternal life, but, on the contrary, your presumptuousness will plunge you and others with you out of heaven (as happened to Lucifer) into the abyss of hell.
But kneel down in your room and pray to God with real humility and earnestness (as David did), that he through his dear Son may give you his Holy Spirit, who will enlighten you, lead you, and give you understanding.
Internalize the truths
Second, you should meditate not only in your heart, but also externally, by actually repeating and comparing oral speech and literal words of the book, reading and rereading them with diligent attention and reflection, so you may see what the Holy Spirit means by them. Take care you do not grow weary or think you have done enough when you have read, heard, and spoken them once or twice, and that you then have complete understanding.
You'll never be a particularly good theologian if you do that, for you will be like untimely fruit which falls to the ground before it is half ripe. God will not give you his Spirit without the external Word.
If you study hard in accord with [David’s] example, then you will also sing and boast with him, "The law of thy mouth is better to me than thousands of gold and silver pieces" (Ps. 119:72).
Expect nothing to compare to the Scriptures
And it will be your experience that the books of the fathers will taste stale and putrid to you in comparison. You will not only despise the books written by adversaries, but the longer you write and teach, the less you will be pleased with yourself. When you have reached this point, then do not be afraid to hope that you have begun to become a real theologian, who can teach not only the young and imperfect Christians, but also the maturing and perfect ones.
Put your pride aside
If, however, you feel and are inclined to think you have made it, flattering yourself with your own little books, teaching, or writing, because you have done it beautifully and preached excellently; if you are highly pleased when someone praises you in the presence of others; if you perhaps look for praise, and would sulk or quit what you are doing if you did not get it—if you are of that stripe, dear friend, then take yourself by the ears, and if you do this in the right way you will find a beautiful pair of big, long, shaggy donkey ears.
Then do not spare any expense! Decorate them with golden bells, so that people will be able to hear you wherever you go, point their fingers at you, and say, “See, See! There goes that clever beast, who can write such exquisite books and preach so remarkably well.”
Source: Martin Luther, Luther's Works, Vol. 34, edited by Lewis W. Spitz 1960 (Muhlenberg Press)