I tend to listen at my computer. I mostly spend my time with the Upper Intermediate and Audio Blogs, but also check out the other levels. I open two windows: one to access the lessons and a second to access the PDF so I can follow along while I listen. I find it really helps me to be able to see and hear at the same time. Sometimes I find that I can "read" but not pronounce the kanji (so the audio track is handy at that instant), and other times I find that I can understand but would never have been able to read the kanji (this is where the PDF comes in handy).
I also read all the comments, because sometimes there's a really interesting or helpful nugget of information.