Sketch a picture of the problem. Pick an axis to integrate along that looks like it will be the easiest. Now look at the cross sections of the area along that axis. Are they disks, shells or washers? You can do it more than one way. The picture is the most important part.
About the only difference is sometimes one method will require you to split the integral into multiple parts and another won't. There's no method I can describe in words, looking at the picture and experience will tell you.