You could probably start with....
reading them?
Seriously, I started with
EJB in Action, followed by Enterprise Java Beans. During that time I did some coding to
test things myself. Then I went for the specs, and read ejb-core and jpa specs, taking notes of my own. Then, I read bits of Pro EJB (for example, XML chapter, and query language chapter as it has nice examples).
Pozdro.