After a lecture, ask yourself what concepts you learned and how do they fit together to form a structure. Take notes on particularly important points of the lecture, giving note to theorems, formulas, important graphs, textual references, and main points of the talk. If there is anything about a particular concept or problem that you do not understand, ask about it. Not only do questions give you specific answers to your problems, they also give others in the class the opportunity to reflect about the material that is being covered. Surprisingly, many of the students will have the same questions as you, but won't ask them.
Full understanding requires more than just blind faith of mathematical concepts.
Ask deeper questions and move to the next level of thought in the mathematical argument. Re-read material just covered, and process that with your notes. Always process the material being covered after class, especially while preparing for the next class session. Math has this funny way of building on itself, so review of the previous section will undoubtedly help in understanding the next section. Ask yourself whether there is a logical connection between sections.