I found the best way is to dive in, and use Google for what you don't understand or what doesn't work. Especially for Objective-C, the Apple documentation is incredibly useful.... MSDN/.NET not so much.
One thing I found useful that I only started doing a few months ago was to use source control - I personally recommend Git. That way if you completely screw up on something you can go back to your last commit, and can create a branch for something you don't fully understand yet, or isn't working 100% (I did that when I started learning Core Data.)