Hey UG.

Lets say. You want to study Hendrix or Jeff Beck, or anyone you want to study him or her too learn and improve your own improvisation, soloing, Rytmh playing. everything.

How do you do it? Listen to the songs? Take em out by ear, and learn licks and techniques that they use?

Or how do you do it?
listen to him as much as possible. Learn some of their songs/ licks. watch there fingers from a video or something. Play along with the record.
Argueably the best way is to just learn as many of their songs as possible. This way you'll pick up their "stock" licks and style. Identify what makes them different, find out why (music thoery?) and put it into practise yourself. Try and come up with a lick that you think they would play
Yeah learn their songs and how they do it. How do they get the tone out of their guitar their way. What intervals do they favor. What notes do they favor over certain chords. I mean you can really get into it, as far as how they hold their pick, how they would pick something, guitars, pickups, cables, amps, cabs etc etc etc. Getting their songbooks are usually a good place to start!
you learn their songs, techniques, use of gear, thier influences songs the only way to understand a player is to experience what they`ve experienced as that is where their music is coming from......

I suppose this is leading to some sort of educational project that you are working on

if not take small portions of what your fave artists did and develop your own style