Study your character as he exists within the script. Determine what the character thinks and feels according to the playwright in every scene. Establish your character's personality and how he reacts to his environment and within different relationships. Note all the information you can about your character, including his likes and dislikes, occupation, hobbies, routines and habits.
Research your character outside of the script by talking to people with similar occupations, studying the time period that your character lived, and/or observing people who have similar traits as your character's.
Learn your lines as quickly as possible. You cannot embody a character, or get in the mind-set of a character, if you are trying to remember your lines or, worse yet, reading your lines off a script.
Practice the character as much as possible -- at home with friends and family, and especially at rehearsals with other cast members. During rehearsals, really try to put everything you've learned about your character into presenting the character. Experiment with movements and gestures you believe your character would do. In this way, the director can let you know if you are on the right track. If the director determines that certain interpretations are not working, keep researching and try new approaches.
Dress like your character when you are portraying her. Wearing a character's costume will help you understand more about the character's perspective.
Participate in improvisation and warm-up activities during rehearsals and independently. Improvisation games and warm-ups get you in the acting and performing state of mind. Activities of this sort help relax the body so that it can react, move and speak as your character would.
Consciously think and feel your character's thoughts and feelings. Go through the script and determine what your character is thinking and feeling about other characters and about the situation in every scene. Make sure that you are always thinking like your character so that you do not become distracted and accidentally break character. Concentrating on your character takes practice, so use rehearsals to improve.