what kind of problems? computational problems? or logical problems? as far as studying goes; you should always be asking yourself why and whether what you've just read makes sense in terms of what you read before and what you already know. if the book is structured well then this will be very productive. unfortunately some are not and that's when you go looking somewhere else like other books or professors.
The same way you get to Carnegie Hall! Practice, Practice, Practice! Don't just read about mathematics, do problems and proofs. The more you do them, the better.