This article is inspired by a google search someone did to discover my blog.
Step one, pick a goal.
Do you want to read a reference grammar and peruse a dictionary for amusement? In that case, read all sorts of reference grammars. The ones that are reasonably complete are the best to read, such as gzb, Ithkuil, toki pona, Sindarin, Klingon, Esperanto (the reference grammars, not the 16 rules) etc
Do you want to use the language? Pick a language with not only a complete grammar, but a creator and fanbase that you feel comfortable with. If the fanbase doesn’t exist, you’ll have to create it as you learn your language of choice.
Do you want to participate in creating a language? First make conlang or two one your own, and get a feel for the scale and typical challenges of the project. Try creating conlang derivatives using those conlangs that are open to derivatives, such as the very old (public domain), or conlang writers who’ve release their works under a permissive license.
After that, everything that applies to regular languages applies to learning fake languages. Get a good flashcard application. Write as much as you can, proof read and read other’s work as much as you can (or until you run out of reading material, a sad problem with most conlangs)