Simply play trough them on a real board. Any moves you do not understand, take extra time to understand.
How Can You inprove Your Chess Skills by Studying Old Masters?
I would start with the old masters like Alekhine, Morphy, and Capablanca. You can learn simple attacking plans from them, as Alekhine and Morphy would play weaker opponents half of the time. You can learn how to play the endgame and positionally from Capablanca. You study them by slowly going through the games, and asking questions about their moves. try to find the purpose of their moves, and any tactics in the position.
I first grab a cigar pipe to get in the mood. That is what old chess players did.
"... there are major advantages to studying older games rather than those of today.
The ideas expressed in a Rubinstein or Capablanca game are generally easier to understand. They are usually carried out to their logical end, often in a memorable way, ...
In today's chess, the defense is much better. That may sound good. But it means that the defender's counterplay will muddy the waters and dilute the instructional value of the game.
For this reason the games of Rubinstein, Capablanca, Morphy, Siegbert Tarrasch, Harry Pillsbury and Paul Keres are strongly recommended - as well as those of more recent players who have a somewhat classical style, like Fischer, Karpov, Viswanathan Anand and Michael Adams. ..." - GM Andrew Soltis (2010)
Chess Secrets: The Giants of Chess Strategy by Neil McDonald
https://web.archive.org/web/20140708092313/http://www.chesscafe.com/text/review620.pdf
Chess Secrets: Great Attackers by Colin Crouch
https://web.archive.org/web/20140708104818/http://www.chesscafe.com/text/review697.pdf
Chess Secrets: The Giants of Power Play by Neil McDonald
https://web.archive.org/web/20140708112104/http://www.chesscafe.com/text/review711.pdf
Chess Secrets: Heroes of Classical Chess by Craig Pritchett
https://web.archive.org/web/20140708234322/http://www.chesscafe.com/text/review734.pdf
Chess Secrets: The Giants of Innovation by Craig Pritchett
https://web.archive.org/web/20140708090408/http://www.chesscafe.com/text/review831.pdf
Chess Secrets: Great Chess Romantics by Craig Pritchett
https://web.archive.org/web/20140708100445/http://www.chesscafe.com/text/review933.pdf
Everyone says that you can get way better by studying super grandmaster games. But how would you study them?