Depends what kind of learner you are. My teacher always tells me to write it down, and I know a good few dancers who do that. Use some kind of key word for each step to remind yourself, so you can look at your notes if you forget.
I find it usually works best to practice over and over. Just keep going through it until you've got the moves down. Get comfortable with the steps, and muscle memory will take it from there. Eventually you won't have to think about it any more.
Hope that helps!