I was a theoretical physicist for 13 years, and struggled a lot with this question. I found it very useful to develop several different styles for reading mathematics and physics. Mostly I did this in the context of reading papers, not books, but the comments below are easily adapted to books.
One unusual but very useful style was to set a goal like reading 15 papers in 3 hours. I use the term "reading" here in an unusual way. Of course, I don't mean understanding everything in the papers. Instead, I'd do something like this: for each paper, I had 12 minutes to read it. The goal was to produce a 3-point written LaTeX summary of the most important material I could extract: usually questions, open problems, results, new techniques, or connections I hadn't seen previously. When time was up, it was onto the next paper. A week later, I'd make a revision pass over the material, typically it would take an hour or so.
I found this a great way of rapidly getting an overview of a field, understanding what was important, what was not, what the interesting questions were, and so on. In particular, it really helped identify the most important papers, for a deeper read.
For deeper reads of important papers or sections of books I would take days, weeks or months. Giving lectures about the material and writing LaTeX lecture notes helped a lot.
Other ideas I found useful:
- Often, when struggling with a book or paper, it's not you that's the problem, it's the author. Finding another source can quickly clear stuff up.
- The more you make this a social activity, the better off you'll be. I organize lecture courses, write notes, blog the notes, and so on. E.g. http://michaelnielsen.org/blog/?p=252 (on Yang-Mills theories) and http://michaelnielsen.org/blog/?page_id=503 (links to some of my notes on distributed computing).
- On being stuck: if you feel like you're learning things, keep doing whatever you're doing, but if you feel stuck, try another approach. Early on, I'd sometimes get stuck on a book or a paper for a week. It was only later that I realized that I mostly got stuck when either (a) it was an insubstantive point; or (b) the book was badly written; or (c) I was reading something written at the wrong level for me. In any case, remaining stuck was rarely the right thing to do.
- Have a go at proving theorems / solving problems yourself, before reading the solution. You'll learn a lot more.
- Most material isn't worth spending a lot of time on. It's better to spend an hour each seriously reviewing 10 quantum texts, and finding one that's good, and will repay hundreds of hours of study, than it is to spend 10 hours ploughing through the first quantum text that looks okay when you browse through it in the library. Understanding mathematics deeply takes a lot of time. That means effort spent in identifying high quality material is often repaid far more than with (say) a novel or lighter non-fiction.