We have classes where we're not supposed to go outside of the case and some where we can. I've found that in some cases, it's really helpful to hash it out with friends -- but only when allowed! And as you can imagine, we're all very uptight about honor code issues this year.
My method:
If there are questions, read those first. (Our marketing class doesn't give questions - we have to just surmise what those might be.)
If the case is long, check out the first and last parts, to see if the problem is stated.
Read the case. Highlight important numbers/facts. If you have specific questions to answer, make a separate sheet and jot down relevant info so you don't have to dig later. As you run into exhibit references, pause and just glance over the exhibit. I used to skip them, but found that the exhibits meant less to me if I looked at them after reading the entire case. I suppose because the info in the exhibit was then out of context.
This is all fairly involved, but saves me time later. I'm also a fast reader, so doing a careful reading doesn't take me much time.