Well I dont consider myself an experienced player but I learn songs by myself sometimes :) Here's what I do.

First, I ask myself: What key is the song in ?
Then : What are the chords or bass notes ? If your "musical ear" isnt fully opened yet, like mine, its a trial and error process. With time you will land on the right notes on your first try almost everytime.
Then I have an idea of what scale they might have use. It helps me to find the notes faster, especially in the solos. Its also good for improvising later on (I like to pitch in some of my ideas in the song here and there just for kicks).

Then I play a part of the song - rewind - play - rewind -play - rewind play and so on :) Untill I have all the parts of the song down. A good way to not get discourage is to learn the songs by parts. First verse, then 2nd verse, then chorus and so on. Splitting the solo in different section is also good if you pick a song with a 5 min solo :)

Try using song surgeon. You can slow the songs down and it dosnt affect the pitch.