I remember the digits in pairs and then try to find patterns in those numbers. For the first 10 digits I remember
(14, 15 = 1 x, 1 x + 1, ascending) (92 = 92, separates two series) (65, 35 = x 5, x/2 5, descending). The larger chunks you learn the more patterns you find, if you're really interested i could post my whole "system", but that would take away all the fun for you.
It's easy to find these patters, I learned almost 200 digits in just a few days. I'm currently at 220 digits but now when there's no school I'm going to learn a lot more.
E: I use
http://www.eveandersson.com/pi/pitrainer/ I always enter all digits at the same time since my system isnt periodical, this is probably not recommended and if you really want to learn lots of digits (1000+) you should ask Mats Bergsten.