Yeah, Gau's right, the skill does have to be used on the character. I wondered for a while because I wasn't learning any but then I found a few things. If you notice an enemy that often does a special attack, such as those plants which use "Seed Cannon", make your Gun Mage provoke them so that they use it on her, then you should learn it straight away.

I only have a few so far, Fire Breath is a good one, can't remember what you learn it from though. I'm determined not to look up the locations of them, but you can find them on GameFaqs if you want to know which enemies have Blue Bullet skills.