Fight monster, wait for it to use the move, kill it, then there's a chance you'll learn it... It is possible to learn moves before you can use them, but only a certain amount of levels before... I think 10 max.

I don't think it's proven that your blue magic skill increases the odds of learning spells, but it's highly likely. The BLU AF gloves also improve odds, and it's rumoured that INT and/or CHR help too.