I would recommend you figure out what aspect you are interested in, and then reading up on the theory for that discipline. An example is that cultural anthropological theory differs from archaeological theory, but those two are far more alike when compared to the theory used in studying post Soviet nations.

For a general framework, I would recommend The Historian's Craft, by Marc Bloch. It's really old-- Bloch was a member of the French Resistance, and was killed by the Nazis. But it's still a solid introduction to how historians think, and a really elegant reminder of why our profession matters. I'd recommend reading it before you throw yourself into more complex historiography.