Read for understanding the basics of the material. If there is some part that you do not understand the first time you read it, look back at the preceding material in the section and see the logical steps the authors are taking to get that point. Take notes only of topics that are important or those you didn't understand when you read the material Mathematical lectures are not made for you to take dictation of every word the professor says.
Lectures deal with subtle concepts, their logical structure and problem solving techniques.
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.