I am a 6th year grad student in math (PhD in August if things go well--adviser says he thinks I can graduate this year, but otherwise, I will face the dreaded 7th year and possible lack of funding, but I promise I will have a PhD in two years at most), and I have some sympathy with what Obis is saying, although I am not in complete agreement. Of course, he also realizes that solving problems is necessary. I think it's complicated issue, so it's hard to do it justice here.
Math and physics are similar enough that I think that the fact that I do math doesn't make that big of a difference, plus, I do physics-related math and have studied a fair amount of physics, too.
There are a couple problems with active reading, though. First of all, what you want to do is get your OWN perceptions into it as much as possible. Of course, you need the book because your own perceptions aren't quite enough to come up with the subject by yourself. So, active reading can be good, but you don't want to be too dependent on the textbook. Trying to do problems before reading everything carefully can get you more involved in the process from the start.
But, you have to do what works, depending on the situation. Sometimes, you might need to do more reading first. Sometimes, the problems won't be good problems. Sometimes, the textbook sucks, and all the textbooks on the subject suck, so you need to be more self-sufficient and try to come up with as much of the theory on your own as possible. It just depends.
There's something to be said about thinking about the theory. In high school and early undergrad, I had more of a "just do the problems" approach. Then, at some point, I started thinking about the theory more, and it was a lot more effective in terms of my understanding and retention of the material. Then, in grad school, I shifted back more towards doing problems, but still retained a lot of the thinking stuff over. So, you need to do both, I think. Sometimes, when you do the problems, you do some of the thinking you need, but it's not always enough.