I briefly attended Kentucky Christian College before moving on to seminary at Abilene Christian University. At the beginning of the semestar, one of my KCC profs asked the rather elementary question of a class, "how do you begin to study a book of the Bible in order to preach and/or teach it?" A number of answers were lobbed at the prof such as "research the historical background" or "outline the book in detail", etc. My prof then made the radical suggestion that the first thing any pastor should do is to actually read the book! Read it in one setting as many times as possible in as many different translations as practicable. He then suggested that as we read we take notes along the lines of "Who wrote it?" "When was it written?" "Why?" "Who were the original recipients?" "What are the recurring themes or words in the book?" and, of course, questions as to what particular puzzling passages might mean. Once this step was complete then one could turn to making a provisional judgment on who, what, when, why, etc. as well as a detailed outline.
The very influential preacher/scholar Fred Craddock cautioned that while this kind of initial work is necessary, that the pastor should then turn to a good Survey/Introduction and at least two good commentaries to check his or her provisional judgments against before moving on because, in Craddock's words, "This stuff is too important to leave to just your opinion."
With all that in mind, the first thing I did when attempting to tackle the monumental book of Romans was to read it in the NASB, ESV, NKJV, HCSB, NIV, NLT and the NET Bible while making copious notes. I then made my provisional outline and judgments on who, what, when, where, why, etc. and then checked it against Carson & Moo's "Introduction to the New Testament", Doug Moo's NICNT commentary on Romans as well as James Dunn's influential, but controversial Word Biblical Commentaries.
For those without an overpriced library in their homes then I would suggest going first to www.biblegateway.com and reading Romans in as many different translations as possible while taking notes. I especially commend the New Living Translation (or NLT) for the initial run. I have found it to be a very faithful yet readable Bible translation. I would then go to web pages like Bible.org, The Paul Page and even search for classics like Calvin's Commentaries, which are online, to check against your notes.
God willing, I'll post an outline and the other steps tomorrow.
Grace and peace.