A lot depends on the relationship between your native language and the target language. For example, English and Spanish share a lot of very similar and related vocabulary. When I started learning Spanish, I started with the words most similar to English, then gradually expanded my focus on less familiar words.
Korean and English, however, have nothing in common except for "Konglish," which is not really Korean, not really English.
Some general tips:
Flash cards have been proven to be very effective.
Study phrases instead of single words whenever possible.
Study the vocabulary in a memorable context.
Short and frequent study periods are more effective than longer classes that are spaced out.
Keep a diary (in your native language, at first) of your study times and topics. Write down what you studied (topic) and how long you spent studying it. This will help the information get stored in long-term memory.
Whenever possible, use your ears to learn pronunciation, not your eyes.
Study material should be 80~90% easy. That is, mostly repetition of what you already know.