Listening is not my strongest point, but I have the feeling it is getting better.
As for up to now, my listening practice usually goes like this.
1) Find something short to listen to (best if it is provided with Japanese subtitles or there’s a Japanese script available). (I’ll only write subs from now on, but both subs and scrips are meant then)
2) Listen for the first time “blind” (meaning not reading the subtitles) and try to understand as much as possible.
3) Listen again with subs and write down any unknown expressions and look them up.
4) Listen to it again with the new knowledge. See how much I can understand now.
5) Come back at the next day see if I can still understand it.
I do not know if this is a good and sensful approach, so I am eager to hear any suggestions.