I currently own about 12 differing sets of rules covering different periods and have never truly learned any of them, I'll read through them fully once or twice and then after that flick through them just before I play a game. I've too many hobbies filling up too much of my brain space Our games never race along at a break neck pace any way and constantly involve stopping to check rules!
A bit like Stuart really, i try to have a good read through to get the jist, then go for it with a small game, we'll tend to check the rules if we have no idea what to do next, other than that we tend to muddle on on the basis that if we're doing something wrong then at least both sides are 'cheating' so it doesn't matter. We then go home, read through the rules again, which usually clarifies any rules we couldn't work out before, and set about correcting the worst abuses of play which we let slide last time...
For Black Powder I read the rulebook from cover to cover 3 times. I generally like to make myself familiar with the layout of the book as much as with the rules themselves as it makes it easier to find the stuff you need mid-game. Playing through some smaller games with the rulebook to hand is important too I think. Too many players in my local grouo dont even have copies of the rules for the games they play, and unsuprisingly they tend not to know them very well. Everyone will have their own best method of learning. Try different things and see what works best for you.
Close enough to play with. - My motto for painting historicals.