Lhuna: I still haven't memorised all the "h"s. Whenever I find one I'm not sure of, I look back at exercise and find out how to pronounce it. The underlying theory behind this is that eventually they will stick in my mind.
How Kath and I learn:
A step by step guide
1) Both read the lesson beforehand.
2) Meet at pre-appointed time on Instant Messenger.
3) Discuss the lesson. What we found easy, what we found hard and whatnot.
4) Help one another and try to explain things to one another if one of us finds something hard.
5) Do the exercises together. One of us writes the answer to an exercise, the other verifies that they think it's correct (or, if not, corrects it).
6) Check the answers and celebrate.
7) Arrange next meeting.
8) If we catch one another online between meetings, we talk to one another, interspercing Quenya into the conversation. This means we can keep up to date with vocab.
It works really well, actually. We've got to lesson 4 already.