I really enjoyed using Merriam Webster vocabulary builder. It has tons of useful words and they are provided in context, which makes it significantly easier to remember random vocabulary. It's also pretty cheap, only $6 on Amazon: https://www.amazon.com/Merriam-Websters-Vocabulary-Builder-Mary-Cornog/dp/0877798559/ref=sr_1_1?s=books&ie=UTF8&qid=1476120847&sr=1-1&keywords=merriam+webster+vocabulary+builder
Barron's 1100 Words you need to know is pretty useful too. I would go through these books and move on to practice questions in PowerPrep, Magoosh and Manhattan. Flash cards are useful too, but it's cramming, not learning. Words that I learned that way just wouldn't stay in my head :(
You should definitely have a dictionary and/or thesaurus handy while you read. Yes, this is important. When you encounter a foreign word in a story, article or other text, read the entire sentence once or twice. Then look up the word and discover its meaning. Then re-red the sentence once more. This process will help with word retention.
I would also suggest picking up a vocabulary builder book, such as Merriam-Webster's. I found this to be very helpful going through the exercises and learning the etymology of new words.
Also, the Amazon Kindle has a built-in word lookup feature that I find very useful when encountering new items.
Learn words in context and their roots - I suggest this https://www.amazon.com/Merriam-Websters-Vocabulary-Builder-completely-revised/dp/0877798559 And reading difficult books! Write sentences! Just practice practice practice :)
I would try your local library for SAT study books since buying them can get expensive.
The study book I think everyone should own is this one: Merriam-Webster's Vocabulary Builder. It's one of the best books for vocabulary out there. It contains quizzes as well as an explanation of the words and their shades of meaning.
I also like Understanding Mathematics: From Counting to Calculus. I can do practice problems for hours, but understanding how the problem works is where I needed help. It's a straight-forward book that breaks everything down. This book is best used in conjunction with a practice problem book.