Obviously this varies from person to person. I would suggest trying lots of different techniques because you will find that some work better for you than others.
When I was learning French I enjoyed reading, listening and watching things and noting down any words I didn't know so that I could look them up later. By varying the activities between reading, listening and watching things, I found that doing the work to find new vocabulary wasn't boring. Another benefit of this approach is that you are more likely to come across words that are used more regularly. Obviously this depends on what you read, listen to or watch, but you can be selective about this in order to learn the right vocabulary.
For example, if you want to learn some political terminology, reading newspaper reports is often a good start. Or, if you were looking for vocabulary about going on holiday, try finding and watching a travel program.