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Well, there are various degrees of "studying a score" and it's unclear where the borders are to simply reading it and to analysing it. Listening to the music and following the score like you mentioned is already a start and can be very helpful to hear details that you might miss otherwise. But with that method, since you're reading the score in "real time", you don't usually have enough time to really get all intricacies. So it is advisable to leave the music off at this point, read the score slowly and carefully and trying to imagine the music in your head. Not only do you understand a lot more about the techniques used in this particular music, it is also an excellent exercise for ear training and musical imagination.
Trying to play the score on the piano is excellent too, although sometimes not quite easy. But it's incredibly helpful for understanding more about the music, as you're literally "getting in touch with it". Similarly, you can also try to conduct it for yourself, which also has the effect of giving you a physical connection to the notes. Both of these methods also combine very well, since playing it on the piano will give you a good feedback on the harmonies and lines, whereas conducting it will show you more the greater processes, tempos, dynamics, densities, developments, formal structures.
You may argue that none of these is actually study, but merely ways of getting acquainted with the music through different means. However, if you want to get further and start to analyse, I still recommend these things (just reading it, playing it, etc.) as a first start.
Now, unless you want to write a book about a piece or something you certainly don't have to analyse every aspect of the music. It might actually be more helpful to concentrate on certain aspects of it. For example, you might simply look at the instrumentation of a certain piece: Which instruments play when, in which registers, at which dynamics? How are they combined? How else could you instrumentate the same passage and how would it sound then? Etc. I'd try to be as thorough as possible, while restricting myself to a passage. You might also just analyse the harmonies, or the types of textures (actually I mean the German "Satzart", but I don't know an English word for it).
But if it's nothing so specific you're interested in and you rather want to grasp the piece as a whole, I'd look at the greater form first. Are there distinct parts? Great developments? Does it sound static? Undulating? Broken apart? Strongly directed? And why does it sound so?
But all of these are just examples. In truth, there is no recipe for studying or analysing a piece of music. Maybe more so in very traditionally classical music, but if you're studying a 20th century score you usually have to find an appropriate way to study it invididually for each piece. That's why my suggestion was to first approach it rather freely by just reading/playing it and slowly finding out what would be appropriate or interesting questions to research in that piece. Then do just that.
I realize that this is often hard at the beginning when one just doesn't know where to approach a piece. So don't try to find out everything right at the beginning. Just get used to the piece, get to know it from different angles and sooner or later some aspects of it will catch your eye and you can look into them further.
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