How to pay attention to studying mathMath is much more demanding a focus and attention to details than almost all other subjects. But doing that, requires lots of work and patience, you cannot just start doing math, and have the same level of focus and intensity as someone doing it for a long time. (of course some people have it naturally)
So, keep working hard, and if you don't get something, leave it for the moment being but do come back to it later on. Don't leave any stone unturned. Try redoing all proofs from the book, then go to another subject, after some time (weeks) come back and redo everything yourself.
By doing the problems while you're studying. Not only will that allow you to understand the processes involved as you read, but you will also get practice working and approaching the problem. When you're reading example problems in your textbook, work the problems out along with the book; or when your professor is doing example problems, do the problem with them. It's much easier to pay attention when you're actually doing the work instead of just listening.