Currently, I'm studying a sermon by Jonathan Edwards, titled: "Christian Knowledge", or, under its full title: "Christian Knowledge: The Importance and Advantage of a Thorough Knowledge of Divine Truth".
Hopefully you are already convinced that it is both your privilege and duty to read the Holy Scriptures and learn to understand their message, I offer you these wise directions from Jonathan on how to do so:
Directions for the acquisition of Christian knowledge
1. BE assiduous in reading the Holy Scriptures. This is the fountain whence all knowledge in divinity must be derived.
Therefore let not this treasure lie by you neglected. Every man of common understanding who can read, may, if he please, become well acquainted with the Scriptures. And what an excellent attainment would this be!
2. Content not yourselves with only a cursory reading, without regarding the sense. This is an ill way of reading, to which, however, many accustom themselves all their days. When you read, observe what you read. Observe how things come in. Take notice of the drift of the discourse, and compare one scripture with another. For the Scripture, by the harmony of its different; parts, casts great light upon itself.--We are expressly directed by Christ, to search the Scriptures, which evidently intends something more than a mere cursory reading. And use means to find out the meaning of the Scripture. When you have it explained in the preaching of the word, take notice of it; and if at any time a scripture that you did not understand be cleared up to your satisfaction, mark it, lay it up, and if possible remember it.
3. Procure, and diligently use, other books which may help you to grow in this knowledge. There are many excellent books extant, which might greatly forward you in this knowledge, and afford you a very profitable and pleasant entertainment in your leisure hours. There is doubtless a great defect in many, that through a lothness to be at a little expense, they furnish themselves with no more helps of this nature. They have a few books indeed, which now and then on sabbath-days they read; but they have had them so long, and read them so often, that they are weary of them, and it is now become a dull story, a mere task to read them.
4. Improve conversation with others to this end. How much might persons promote each other's knowledge in divine things, if they would improve conversation as they might; if men that are ignorant were not ashamed to show their ignorance, and were willing to learn of others; if those that have knowledge would communicate it, without pride and ostentation; and if all were more disposed to enter on such conversation as would be for their mutual edification and instruction.
5. Seek not to grow in knowledge chiefly for the sake of applause, and to enable you to dispute with others; but seek it for the benefit of your souls, and in order to practice.--If applause be your end, you will not be so likely to be led to the knowledge of the truth, but may justly, as often is the case of those who are proud of their knowledge, be led into error to your own perdition. This being your end, if you should obtain much rational knowledge, it would not be likely to be of any benefit to you, but would puff you up with pride: 1 Cor. viii. 1. " Knowledge puffeth up."
6. Seek to God, that he would direct you, and bless you, in this pursuit after knowledge. This is the apostle's direction, James i. 5. " If any man lack wisdom, let him ask it of God, who giveth to all liberally, and upbraideth not." God is the fountain of all divine knowledge: Prov. ii. 6. "The Lord giveth wisdom: out of his mouth cometh knowledge and understanding." Labour to be sensible of your own blindness and ignorance, and your need of the help of God, lest you be led into error, instead of true knowledge: 1 Cor. iii. 18. " If any man would be wise, let him become a fool, that he may be wise."
7. Practice according to what knowledge you have. This will be the way to know more. The psalmist warmly recommends this way of seeking knowledge in divine truth, from his own experience: Psal. cxix. 100. " I understand more than the ancients, because I keep thy precepts." Christ also recommends the same: John vii. 17. "If any man will do his will, he shall know of the doctrine, whether it be of God, or whether I speak of myself."
Quoted from: http://www.ccel.org/ccel/edwards/sermons.knowledge.html