How to Study the Gita
In the sense that we are under the veil of Maya, illusion, yes. But in the sense of the essential, we are non-different from Krishna-Brahma. Krishna is completely part of the Mystery, and we are as well, in the sense that anything about us that is real is part of the Mystery.
Krishna is to be shown devotion and veneration in his form as a Master; he is to be glorified in his form as the eternal Brahma.
The Gita itself holds the keys to these questions. The first step is to read the Gita, in its entirety. After that, the Gita will work for people at different levels depending on where they are in their lives. It would be a very good idea for anyone to read a little of the Gita every day. Many great individuals, from Thoreau to William James, to Aldous Huxley, to Gandhi read the Gita daily. For some,this can be simply as inspiration, or intellectual stimulation; something you can do at the start of your day to put you on the right mental footing for the whole day. For others, reading the Gita is itself an act of devotion, particularly if it is the Gita as written by your own teacher.
But the other important step is to practice what the Gita teaches. There are three essential practices present in the Gita. The first is non-attachment to actions. This is where you focus, meditatively, on staying in the moment, on acting without "lust of result". Do things for their own sake, not because you want a particular result, or do nothing without desiring to necessarily avoid action. The second essential practice is the dedication of all action to the divine. Offer all your actions to the divine, to Brahma, to Krishna, and in that way lose your attachment to their ends. You are only a vessel for the divine. One particular aspect of this is the dedication of food to the divine. Food is always a karmic product; the food you eat is the result of the death of an animal or plant being. By consciously and simply dedicating your food to the divine before you eat, you will be able to free yourself of the Karma that would be brought about by eating it unconsciously. You give consciousness to your act of eating, and in that way purify your action and honor the life that you had to take in order to survive. The last essential is devotional practices. There are many described in the Gita, from intense yogic practices to the chanting of holy names. Regardless of which of Krishna's methods you feel you can follow, the key is to practice meditational methods every day. While at first it is a good idea to try several different methods, when you find one that works for you it is best to stick to it, so that you can explore it in depth. This does not mean you are forbidden to experiment with other techniques after that, just that you should keep doing the one you have chosen consistently.
Note: Of all of the methods advocated by Krishna, the method of mantra chanting is perhaps the most attractive, and one of the simplest to incorporate into your life. The ideal mantras are the OM, or the 'Hare Krishna' mantra ("Hare Krishna Hare Krishna Krishna Krishna Hare Hare Hare Rama Hare Rama Rama Rama Hare Hare). The former mantra is good for slow repetition, and the latter is especially good for rapid repetition matched with motion or ecstatic dancing. However, I will attach a very important warning to the practice of mantras in general: be aware! Mantra practice is beyond useless, it is actually detrimental, if it is not done with extreme care. The key is that you must recite your mantras with total awareness. If you cannot be paying complete attention to your chanting, you will actually be using the mantra as a distraction, meant to help lull you into deeper sleep, rather than wake you up. Be sure that every word you chant is lucid, clear to your ears, well pronounced, and being given your total attention. With that being considered, let yourself open, chant, and become a vessel for the bliss of the divine.