Being an active participant in your sessions and taking an open and collaborative approach with your psychologist is the best way to get the most out of your sessions.
Some treatment approaches will require you to do some homework between sessions, or practice skills and tools discussed in sessions. Writing a few notes on these experiences between sessions and bringing them in to explore is a useful way to support the transfer of what happens in sessions to your outside world.
On a practical note, ensuring your sessions are at a time and place where you can commit your full attention is important. This means, where possible, eliminating distractions related to work, family, or technology.