Ellen has the answer. Take notes, write it down, and practice.

Making a notebook with descriptions of everything you have been taught is a tremendous help when first learning, and it is a good reference for later. This should be done immediately after the class. In the process of writing everything down you will be forced to review in you head everything you were just taught, and describe those actions. You will find yourself getting up and doing the step again and then writing it up. The writing process will firmly implant this information in your memory. You still need to practice it to firmly implant that information in your muscle memory. You will also discover that you will not be able to write it down if you don't understand it, or if you don't remember it from class. A portable tape recorder taken to class is a good way to quickly make notes to yourself. Use that when you do your write-up.

In this notebook you should have the name for the step. Break it up, maybe one line for each 3 steps. Include the timing as the first item, maybe QQS, or 12&3 or whatever is appropriate - then describe the step in as much information as you need. If you are a beginner you will be describing individual steps, where they go, what the timing is, what your partner is doing, for a man, how to do the lead, and for the lady how to recognize the lead. As you progress you won't need as much detail on the basics. You can describe a step as consisting of something you already know plus only any additional information that is new. Of course to describe a new step in terms of something you already know, you have to have a name for that step, so pay attention to the names of steps.

When you are doing this you will also discover errors in what you thought was correct. In other words if the timing didn't come out right on paper, then you didn't remember it correctly. So go thru it again and fix the error.

If you do this it will be a very big help in remembering and understanding how all this works.

Elizabeth Most people writting above are correct. I will add this to the list.
If after your lesson you don't run through the routine you have just learnt. Our brain has this natural ability to start throwing out what it thinks isn't important. That will include some of your dance steps. You must within a very short time space go through what you have just learnt, and write it down immediately. If you can just before you go to sleep run it through your mind. When you come to a bit that doesn't seem clear. In the morning look at your notes for that particular part. I am not trying to boast. but I can run through all of my routines mentaly with the timing and finishing to start again right on the correct bar of music. If I find I have arrived on bar 23 and it should be 24 I will go through it again untill I get it right. In class we each have to do this solo leading the class. We never know whos turn it might be this week. This is in Modern. All in the class are very experienced dancers.
Going down to the very beginners level do as above with the steps you are learning.
Latin is the same. In the Cha for instance. If you get to a part where you can't remember if there was two or three New York's and which direction the first one went. You should have it written down with the correct name for the step. At work you never file a letter away without a reference number, you would have difficulty finding it. Give your steps names and in your minds eye see every step. Then you will become crazy like the rest of us. Only kidding.Good luck

Repetition is the key. Other than practicing by yourself, I'd recommend taking more group classes. You might have to go to an independent studio to do that as your current doesn't always have classe you want.