The best choice in this context would be "take notes after you read a section by writing in the margin or other white space (or using tools if reading on a device)."
Highlighting and underlining can be helpful, but doing so excessively can lead to a cluttered page that may not aid in retention as effectively as taking notes in your own words. Using different colors can also be beneficial for organization, but the most effective study techniques often involve engaging with the material actively, such as taking notes.
So, while all the mentioned strategies can be useful, focusing on active note-taking tends to provide the best outcomes for comprehension and retention of the material.