This is a great question. There are several right answers to this question. I think it is important to find a strategy that meets your needs. I like to make lists that I update daily/weekly. I divide my tasks into four quadrants: important/urgent, important/not urgent, urgent/not important, not urgent/not important. I understand that tasks may move between these quadrants as other problems emerge throughout the day.
Something that has really helped me improved my time management skills is setting timers. I only allow myself a set time for certain tasks. For example, if I need to take a break from working on something I will set a timer so that I know when it is time to get back to work.
Another strategy that I use is setting a timer for 10 minutes each night before I go to bed. I use this ten minutes to prepare myself for the following day. This may include setting out my gym clothes for the morning, backpacking my backpack for work, preparing the coffee pot, ironing my clothes etc.
Please let me know if you thry these and find them helpful!