One of the major ways of studying chess in our Russian “chess school” in the nineties was analyzing your own games. That got me into believing that this is the best way to improve your game. I started doing it without computer, on a piece of paper, but obviously over time tried to use databases as much as possible for maintaining and updating a collection of my games. I also helped several students of mine to learn how to analyze their games in effective ways, so here are a few suggestions that you might find useful:

1. Maintain a database of all your games. I keep several databases: my games with standard time controls, rapid time controls, internet games
2. As soon as possible after the game has finished – put down thoughts you had during the game. That will help you later to remember and understand the reasons for your mistakes.
3. Let the computer engine run through the game in blunder check mode – that way you’ll know immediately about the major blunders you and your opponent made
4. Identify the critical moments of the game. How many times does evaluation of position change, and advantage shifts from one side to the other?
5. Analyse the opening, update your opening repertoire if necessary. Evaluate the position after the opening, to decide whether your openings need “repair”
6. Do not just analyse in terms of variations. Give verbal evaluations of critical positions. If white is better – say why. That helps you to better understand the true meaning of each position. That also makes you stop looking at the computer evaluation and think on your own for a few seconds.
7. When you’re done analyzing – summarize your the game. Why did the game end the way it did? Where was it decided – opening, endgame, tactical blunder?
8. Over time – look at the trends in your games. Do you lose more points in openings or in endgames? Is there anything you can study in particular to improve those trends?
9. Go back to your games, even years after they were played. I do that just to practice my analytical skills, and very often I find surprising how much new little details I can discover (e.g. the endgame I thought was drawn – is actually winning, etc).
10. As already mentioned – don’t fully rely on the computer engine. Try to find moves and ideas on your own, and only then let the engine give you hints. It is ok to guide the engine, but make sure you’re still the driver

Attention !!!

#1 Note : Source -  Roman

#2 Recommended : Chess Strategies 

One thing to add, some players can't think when the engine is running, so would it be better to analyze on your OWN, first, then give it to the engine, firstly to analyze the game, than to correct your analysis? I think this helps in two ways, so you can see the way you think more clearly.