You can find out your ideal learning style by looking back: review your past learning experiences and make a list of the good ones and another list of bad ones, in order to see the elements they had in common.

Make sure the skills you've chosen are relevant to your career, your organization, or both. 

Learning a new skill takes commitment. And there are certain limits to what you can learn. So, before starting working on a new skill, ask yourself:

One of the quickest ways to learn something new, and to practice it, is to teach others how to do it. 

Choose one or two skills to focus on at a time, and break them down into manageable goals. This will prevent you from feeling overwhelmed.