This seems obvious in retrospect, but it took me awhile to dare to do it... while walking to work, listening to Chinese drills, a pocket dictionary lets me see the pinyin and characters that I'm hearing. This is particularly helpful with Chinese, where I'm not always certain of my spelling of the non-English sounds or tones, and especially in ideographic languages where the written word shows the etymology. Japanese might be the same... Hindi or western languages probably not as much, because the written word and meaning don't tie as tightly as in Chinese or Japanese.
Previously I had tried to write down words to research at home, but this didn't work out. I look like a dork walking around with a book, but it has been a great help, and I've already noticed greater retention. I have five different pocket-sized Chinese/English phrasebooks, but The Rough Guide seems to work best... their English->Chinese dictionary is the largest.