I do just the same. What else to tell you. Maybe thinking about how to perform it being a conductor.
It depends on what exactly I'm studying, but in general I will find a recording, and listen to it at least twice before I even touch the score. THEN I will pick up the score and follow along with the recording, marking cadences and obvious points of change as I come to them. Then depending on what I'm studying and why I may do a formal analysis, which will either include a complete harmonic analysis, or an analysis just at the begining and ending of phrases and sections; it depends on what my purpose is. Of course if its a 20th century peice and harmonic analysis isn't pertinent I may attempt to analyzie a tone row or a basic set or whatever is nessecary.
After that, it all just sort of starts to unravel.
Make sure you at least try to attempt to copy what you've learned by writing a sort piece or exert. Its one thing to study a history book and highlight important passages, and another thing to then take a test explaining what you've learned. For us musicians, writing music is the test of knowledge.
Two small suggestions:
1) I think scores are practically sacred and never write in them. But if you have access to a photocopier (perhaps when the boss isn't looking) you can make multiple copies of each page and scribble away to your heart's content.
2) Rip a recording of the piece to wav or mp3 and look/listen to it in an audio editing program. "Audacity" is a very nice free one. Unlike a score, you can see the entire piece laid out in real time. You can tell at a glance where major climaxes and sudden changes in dynamics occur. You can zoom in and listen to passages over and over (much easier than with a CD or mp3 player). And you can put labeled markers in place (perhaps corresponding to score), so that you can quickly jump around to compare things.
"An artist is someone who produces things that people don't need to have, but that he - for some reason - thinks it would be a good idea to give them."
- Andy Warhol
Well, I study her real close then I score. Ah, Oh, oops! Sorry.
Actually, I use the pianie as much as possible to play parts, make corrections, transpositions and any other problems or changes I may see fit. Well, at least I used to with my stay as musical director for a youth theatre company. It's been a while since I've studied a score (mostly musicals) that extensively. Yes, been a while.
One of the absolute best things to do (in addition to an analysis) is to break out some staff paper and copy the score... using a pencil or pen. This will show you every little nuances.
Also.... look at parts separate from the score... ie Trombone 1. This will take a lot of the music out of the vertical context and put it in the horizontal.
It is very wise to be aware of what methods the composer used, so if you are studying Survivor From Warsaw by Schoenberg you know to find the tone-row or pitch set, or if you are studying Beethoven you look for the seed motive.
And lastly, in the process of analyzing it yourself read what other people have found on a source like JSTOR or at the nearest Music Library.
DMA Student and Teaching Asst in Music Theory/ Composition at the University of Miami