Check online resources. There are several websites such as The Idiom Connection (see Resources) that offer a detailed glossary of idioms in alphabetical order.
Take a class if you're learning English as a second language. Many ESL classes have idiom and slang components. This is a good option if you're just starting to learn English and don't know basic idioms.
Buy a book on English idioms, such as a reference book or linguistic history. Dave's ESL Cafe (see Resources) has a detailed listing of books. Visit your local library or bookstore and look for books in the linguistic or reference section.
Watch television and read books. Everybody speaks differently, and simply collecting idioms won't show you how to use them naturally. Contemporary books, movies and television will show you how native English speakers use idioms. Pay attention to the speaker and the situation, as using idioms is very contextual.
Imitate other people. One of the best ways to learn any component of language is to talk to others and mimic the way they speak.
Practice. It's not enough to simply learn idioms, you have to use them. This will help you remember the idioms you've already learned. Don't be afraid to make mistakes.