As with almost any kind of thing, you should choose whichever way that fits better you style.
But, in my opinion (since you're asking, after all), you should begin by trying. RegEx are a very practical thing: there isn't much theory to how they work (just some syntax to be memorized), but there are a lot of things to learn about them when they are put in practice.
So, practice. You can use nRegex if you are writing .Net regex, or you can use egrep
if you are on a Linux machine. Start by getting some text document and then trying to find some expressions there.
I also use regex with my favorite editor (UltraEdit) to help me replace stuff. It's actually very useful if you work with large datasets which are stored as plain text files.
In this case, necessity was king. I was learning as I needed.