Dieties are great when you need assistance in a magical working or in problem solving. I think there is no right or wrong way of choosing. It is all about using your intuition and the characteristics of that diety. Choosing a pantheon to work with will require study and dedication. It is important to research the deities, their myths, and the culture in which they originally developed. Eventually you may become drawn to specific deities (which is sometimes refered to as your Personal Deitiy). Yeah, I think you can learn from them because they can teach you in many different ways (including in your dreams, showing omens, whispering words, etc).
I don't consider myself an expert with dieties. But, I do know from my experience, they have always helped provide additional knowledge when needed and given that extra kick when I seem to be at a lost.