Before you can study them you have to know what to look for. You need to have a requisite knowledge of endgames, positional elements, and tactics so you could know how to evaluate, assess, and what to look for. Can't determine if a variation is superior for the side with knight vs. bishop if you don't know that particular position (relatively closed, mutual isolated d-pawns, etc.) and strengths and weaknesses of knight vs. bishop. Heck, one could even misevaluate it as superior for the side with the bishop if they simplistically apply "A bishop's power rises in the endgame!" (generally true though) or equal because "A knight and bishop are both worth three pawns".
To properly study them you need a database and hide the notation pane. Type your thoughts and variations in a Word document without peeking ahead. You won't be correct everytime, and afterward note the changes in the position with the master's move and why it was good, bad, what principles it follows, etc. and accordingly tweak your own thought process.
Again you need basic understanding before properly studying them.
How does one study master games? I've been told that if you want to become better..... you need to study master games..... but nobody ever tells you how to..... from my knowledge you study typical plans early in the middle game, look at imbalances.... why they play there moves... try to figure out what the plans are for both sides.... then concrete way to achieve it... is this correct? Is there anything that I'm missing?