Learning and retaining a bunch of words is easy; any basic flashcard system can help you do that. However, all those fancy Scrabble words you stuff into your brain won't help you win any tournaments unless you can get them back out again on demand.
The tricky part isn't retention, it's recall.
Now, ideally, you want to start learning new words when you're about five or six years old, and just read absolutely everything you can get your tiny little hands on. Fiction, non-fiction, poetry, what have you. That will give you a few decades of practice with your vocabulary, which you can then pull out at your leisure when you're ready to hit the world of serious Scrabble. All the best players I've met have been avid readers for most of their lives.
Of course, not everyone lives in an ideal world. Sometimes you're stuck being twenty years too old to start afresh; you have to play the tiles life deals you.
As mentioned earlier, learning the words is easy. Write all the words you want to learn on flashcards. Read through a dozen or so at a time (your mileage may vary, adjust according to taste and local custom), wait a few minutes, then try to write them all back down again. Lather, rinse, repeat.
Once they're in your brain, they're pretty much in there for good. However, in order to pull them out at will, you need to use them. Use them a lot. Use them every chance you get; the more avenues of attack you open up, the easier it is to recall them later. Write words down. Say them out loud. Read them back. Translate them into Spanish. Model them out of Play-doh. Be creative.
I've not used the Zyzzyva program myself, but it sounds like an excellent resource for developing recall. You don't want to limit yourself to only the one system though.
The traditional method of learning new words, one which will have English teachers worldwide nodding their heads, is the simple yet effective "Use it in a sentence." This may not always be the easiest route, especially when dealing with the wonderfully archaic words Scrabble professionals so know and love, but it's a great starting point. Try to work whatever words you learn into your daily conversation; don't concern yourself with the fact that you now sound like a total nerd, that's just a sacrifice you'll need to make. This is Scrabble we're talking about here. Serious business.
Another effective tool is to do a lot of word games. A LOT of word games. Do the word search and the crossword puzzle in your local newspaper. Go to your local magazine rack, they almost always have a huge tome that says something like "Super Giant Book of Awesome Word Puzzles". Buy one and solve them all. It'll be worth it.
One trick I personally use is to do a normal crossword puzzle one day, and then the next day I pull out a sheet of graph paper and redo the puzzle entirely from memory as a diagramless. Effective, but not for the faint of heart.
Also, learn all the two-letter words. It's crazy how useful those can be when you're playing combinations.