Even when you never had to study before...
You may think you know all about how to study, or you may think you don't need to study, but when you start taking a very rigorous class you may get totally blindsided by a failing grade on a midterm exam. I did that. I'd always just read my textbook and paid a little attention in class, and it got me through high school just fine. But when I took my first tough chemistry class as a freshman in college, I failed it by making a 66/140! Now I wasn't the only freshman to fail that test. A lot of people in my class did, then they dropped the class or changed their majors to subjects that didn't involve so much science. I didn't want to drop it. I realized that I didn't fail that midterm because I wasn't capable of learning the material. I failed that midterm because I didn't know how to study!
What you can do immediately
Instead of coasting through the beginning of a semester and falling behind like that, start from the very first day and learn the material as if it were something in which you're vitally interested. Take the best notes you can, and study them as well as any necessary information from your textbook or other materials as long as it takes for you to feel like you really have command of the subject. If it's a very hard class, plan to spend two hours of outside study for every single hour you spend in class, or even more, if there are problems to work or computer programs to write.
Notes are your lifeline
When you are taking a difficult class, class notes are the most important study material you have. The notes you take in class will be your only record of what the professor actually said that day. Your professor may put presentations and even lecture notes online for you, and that's great, but I suggest you print them and bring them to class. Then in class, on that printout write down all of the major points and remarks he or she makes, and draw in any diagrams, arrows, or other cues, even if you believe you'll remember them later. Sometimes something that the professor doesn't seem to really emphasize may turn out to be a test question, and you may be the only person who can see it coming!
Get the details - fast!
Learn how to use abbreviations so that you can take fast and complete notes. Your chosen field is probably full of them, and it's worth your time to learn them (often from what your prof writes) and start using them. As soon as you can after class is over, go over your notes and fill in any missing things that you just didn't have time to write down. Sometimes in class you have to give up on writing and move on to writing the next thing that is said, but this is the best time to fill in those blanks while you still remember what's supposed to be there! Feel free to put notations or questions for yourself if you have to look something up later.
Engage yourself in the subject
Before the next class meeting, go over those notes as well as the appropriate parts of your textbook, really digging in and working on the material. Instead of just sitting and staring at the book or notes for hours, be sure to work any problems, answer all questions, or otherwise do any exercises that you can find. Learning actively is the best way to use your study time so that you really master the material and don't waste time on a wandering mind or boredom.
If you're studying a class that has a huge volume of reading, remember not to waste time going over and over material you already know. You simply don't have time to read pages of notes or your book that you could already pretty much recite! Instead, put a sticky note or check mark or other signal to yourself on such areas so you'll know that's one page (or chapter, or section) that's already conquered. Now can spend your time on the stuff you're still weak on, even though that part of the material is not as much fun, until you learn it and are able to check it off too!
You won't have to treat all of your classes this way, of course, so don't despair. But when it comes to the really tough ones, remember to start studying the very first day and stay on top of things using your new study skills!