For me, the "how" of studying the Lesson has to do primarily with focusing both heart and mind on its message. The first lines of Mary Baker Eddy's "Communion Hymn" describe this focus beautifully: "Saw ye my Saviour? Heard ye the glad sound? / Felt ye the power of the Word?" Poems, p. 75. My goal in studying is to feel the power of God's Word, to be touched by the joy of Truth, and to see specifically how this Truth saves and heals in my life and in the world.
For instance, often the Lesson includes psalms of praise. I try to really feel them as my own praise for God's goodness, and to reflect on how grateful I am for the countless evidences of His presence. If the Bible citations speak of God's mercy or justice or power, I might ponder examples of those qualities that I've seen. It's amazing how just paying attention to certain qualities heightens my awareness of them throughout the day. It also makes me more alert to be merciful and just myself, and to watch that I'm giving power only to God.
The opportunity to practice what I study is constant. When I'm afraid, I can trust God. When I'm impatient, I can affirm God's absolute control. When I'm critical of someone, I can mentally insist that the only real man is God's image and likeness, and refuse to react to the lie of a mortal personality. The challenges of putting Truth into practice are what send me back to the books, hungry to gain more understanding.