Some people use "Anki" free software which is a flashcard memory program. I am just learning how to teach English and one thing I have learnt is the importance of learning "language chunks" (or collocations) rather than just words in isolation. If you can create meaningful sentences from your new vocabulary and get them checked on Notebook here, that can be a good way of embedding. Also learning words associated with pictures can be good too.

Oh yes!I do it!When I don't know words,I write them on a paper and then I write what they means.The next day I repet all the words for know if a memorize them and then I do it once a week.That's all!By!

Do as Michael suggests : memorise phrases, not isolated words. Also make sure that you know the correct pronunciation.

It's my opinion, and all people have their own techniques, but I think it's really hard learn new words If you only try to memorize them. I think it's better if you try to match the word with an image. My teacher has told me, that the students should make a flash card where you can see the word, his meaning and a drawing of that word. In my case I have improved a lot ( or at least, I think so) after that I started to read comics. It's the perfect combination between the texts (grammar) and the images ( that it's, in summary, other kind of memories about the meaning of the words).