Strategy for studying professional games?
A lot depends on your strength.  I find that memorizing them is useful for me.  I've also heard a lot of people suggest that you need to play them out on a real board.  It helps teach your fingers where the pro moves are :)

If you're not a dan-level player, you probably shouldn't focus too much on fighting sequences - you won't be able to understand all of the variations the players are considering.  

It's a really good idea to look at each sequence or exchange in the game and try to tell what each player got out of it.  From an amateur perspective almost everything that happens in a pro game is an even trade, so you should look for sequences that don't seem even to you and try to figure out why they actually are.