For me, the most effective approach to learning a new language has always been diving in and creating something. I typically write a program that solves a problem I know relatively well.
My GOTO programs are generally one of Conway's Game of Life, a Brainfuck interpreter or an EAN13 barcode encoder.
I generally read the docmentation of the language and keep a tab open on the API docs, also. If the language is a large paradigm shift from where I've been spending a lot of time I will probably start with much smaller programs and work my way up.
The general advice from me is to always write code. Don't simply do contrived tutorials that are only designed to demonstrate the major selling points of the language in question.
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