The first is to hand-write out the passage in full. I tend not to hand-write much in other settings as usually typing ends up being a better option. However, for this hand-writing has been beneficial. Hand-writing what you are reading slows you down so you can't race through the text as easily. Also, when writing down every word in the text I'm finding that I notice finer details like curious and possibly significant word choices that I might not notice when just reading.
The second thing I'm finding helpful is to not just think about the text, but to write down my thoughts, questions and observations about the text. As with writing out the passage, something about taking the time to write things down seems to make them stick in my mind. I suggest that you don't just write down the big points of the text. Write down the questions you think you think are stupid or ones think you might already know the answer to. Write down observations that seem obvious and ones that seem too be quite minor points. In addition to making it easier to remember what you've learned, writing down your thinking on a passage can be great way to work out what questions it might be helpful to research from other resources.
What methods have you found helpful in your bible study?