Well one of my approaches is to think if you never understand the reasoning behind a good move you'll never play it yourself. So when you come to one of those "I don't really understand this move" in a GM game, don't skip passed it. Try and find about it and the ideas behind it, and experiment with the idea in some of your own games.
do you use a board or just read the game blindfold
Just got my copy of Zurich 1953 by bronstein..... usually I would sit at the chessboard at play along... but im considering playing through the game at my computer with the engine now... trying to do the whole "guess the next move, see how it compares to the actual move, see if the engine likes your move better, the text move, or different move"
this process DOES take a lot longer though, but I feel I understand the games better
Also.... how do you guys go over unannotated GM games that you download off somewhere like chessgames?