Firstly, you need to learn to copy morse code not how QSOs are carried out. Learn Morse code first and then listen to QSOs - one step at a time is easier but requires patience, you will be rewarded.
There are many recognised methods but the two that take the limelight are:
KOCH - Start at high speed wioth one letter and add a letter at a time and see your progression.
Farnsworth - High speed characters with time to think in between - this method set me back 6 months, you don't want to think you want to react!
I would suggest you use the KOCH method - it is longer to progress but you see that you are learning and you learn to react instinctively to letters as you need to in the real world. Farnsworth Appears great whilst learning but I was still translating at 12 WPM speeds and it took ages to get over that hurdle, there are some who love it though and if used properly get great results, read this summary from the Elecraft site to make sure you get both sides of the story from Ron AC7AC.
I also suggest you learn to copy i.e. write the Chracters down so you can test yourself. Reading Morse i.e. in your head, will come later on and after few hundred QSOs (real and practice) you will have little need of a pencil!
I assume you have a PC and are using either G4ILO's MorseGen or G4FON's KOCH trainer as the standard programs and they have been set-up to generate sound files. If you are unsure read the documentation on how to create a .WAV or .MP3 file.
In our normal language numbers and text are separate, in a CW QSO they are not - DO NOT LEARN NUMBERS AND TEXT SEPARATELY - learn them as one language. I Learnt them separately and you tend to think you know them but I bet most operators miss a character when a number is thrown in. All our lives we have been conditioned to know that numbers and text are separate - in nearly all learning programs they are kept separate - why? In call signs you must read numbers as well as, if not better than text. learn them all together for an easier life later on.
Always test yourself - check the text on the screen against what you have written. If you don't get 95% correct do it again, forget the 90% limits, they were tooo relaxed for me and I conned myself into going forward when I knew I was cheating myself - I only had to back and do it again!
These were my rules for testing myself that I had to use after cheating myself:
95% correct copy with no mistakes on the newly introduced character.
The logic of this is that at 15 wpm is PARIS (or MORSE) sent 15 times in a minute. That's 15 x 5 characters =75 characters in minute so 3 minutes are 225 characters. At 90% you can get 22.5(!) characters wrong and still progress, I think this is too high an error rate. Set it at 95% and I'll let you get 12 wrong (OK so I rounded up and gave you a little lee-way!).
If you transfer MP3s to your phone or MP3 player, take a copy of the text file the program produced and print it so you can check your copying.
So you can copy random characters pretty well - now go to the G4FON and under options change the Use MFJ 418 Learning order' to whatever it you have NOT been using. If it wwas ticked - untick it and vica versa. Now start again, it should take you a week to get to the end, keep testing yourself. If it takes longer that's not a problem, it's all great practice!
Now you have it cracked there is one more thing to master, QSOs