This is a pretty simple method which has a lot of advantages because all the words can be found in one place. The best piece of advice is to carry a notebook around with you at all times. Then, whenever you hear or see a new word, you can write it down straight away.

It is important to write down information about the word. For example, what word class is it (such as a verb or adjective)? Is it irregular? How would you define it? How could you use it in a sentence? How do you pronounce it? Is there a difference between the British and American spelling or pronunciation?
Write down whatever you find useful for you and your vocabulary learning.

Of course, if you want to keep your notebook electronic, then do so! You could use a simple text document or create a table or database. That way, you can list the words in alphabetical order automatically or you could add pictures to help describe the words and help you remember them. The possibilities are seemingly endless!