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.