This method is suggested in the book Developing Chess Talent. The website for the book is http://www.chesstalent.com/.
1. Play through the game and try to understand the comments. Write down moves and comments that you don't understand and present them to your trainer or a training partner.
2. Play through the game again and write the 2 or 3 most important rules of thumb in your chess diary. Rules of thumb are defined as comments of general importance.
3. Play through the game once more and 'predict' the moves for the winning side. For every move, mention at least one reason why it should be played. In this way, you can check if you understand the course of the game and you will notice which phases remain unclear to you. Moves that you understand are easy to memorize. For moves that you haven't been able to remember, you should read the comments one more time.
4. Collect important thematic positions in a computer database.
The 2 things that are slightly different in this method from others I have seen, is the doing the predict-a-move on the 3rd play through of the game, and the verbalizing of reason(s) the predicted move should be played.
It seems interesting to me so I will probably incorporate their ideas into my training. I have also recently read something about internally verbalizing your thought process, which is something I need to work on.