We have written about many different types of Mnemonics and Systems (Peg, Phonetic, Loci, etc). Using a system is a very effective way to study because you can reduce the number of repetitions necessary to learn the material. This gives you extra time to over-learn it, or to learn something else. Over-learning always helps to improve retention regardless of whether you use a mnemonic system.
One thing to keep in mind is that using a mnemonic system does not magically implant the information into your memory forever. It only allows you to speed up the normal process. Thus, you will still need to review the material from time to time if you want to retain the information. The good news is that it is much easier to review material if it has a mnemonic attached to it.
Mnemonics are sometimes taught in the classroom, and sometimes the teacher provides actual associations that you can use. This is good for people who are untrained, but studies have shown that if you create your own associations, you will learn the material more quickly because it will be more meaningful to you.