Write it down. Use a dedicated vocabulary notebook, and try to give an example of the word used in context. You may find it useful to group vocabulary by topic.
Think about word families. For example, if you learn the verb to relax, you can also note down the noun relaxation and the adjective relaxation.
Go over the vocabulary. You could fold a piece of paper down the middle with the word on one side and a definition/translation on the other and test yourself. Why not work with a classmate or friend and test each other? One of my favourite websites is Quizlet, where you can make digital flashcards and play games to help you remember the words.
Don't forget the preposition! If you learn the verb to depend, for example, don't forget that it's to depend on.
Look out for the word. I find that once I learn a new word, it suddenly seems to appear everywhere! Seeing the word in use is really helpful as it'll help you use it yourself.
Try using the new words. Next time you speak to someone in English, have a go at using the word in context. If you're not sure, you can ask them whether you're correct.
Don't expect to remember everything. You won't remember every single new word you see, so don't get frustrated if some don't seem to "stick" in your mind. Keep reviewing them, and remember that some words are more useful than others.
Do you have any other useful tips for learning (and remembering vocabulary)? If so, post them in a comment below!