That's actually a very good question. I do several things:
1. while playing, i flag the hands where i feel i don't really like my play or where villain's hand turned out to be out of the range i expected. Practically I star them in my Holdem Manager HUD for later review.
2. After each session, I watch the hands I stared, plus all the large losses and medium wins. Could I have avoided the large losses or are they just coolers? Could I have extracted more from my medium wins or were final pot sizes adecuately related to my hand strength ?
3. When still in doubt, I post the hand in the HA forum.
4. From time to time, I filter my database for specific types of hands/actions/positions and try to figure out if i have specific leaks. Am I earning money when I flat call with suited connectors in late position? Am I earning money when I 3bet light in position? Am I earning money when I 3bet light from the blinds? Am I earning money when I push all in freflop with AK? In which positions am I earning money when I play small pocket pairs? ...