Growing your vocabulary and comprehension is a process and takes time. Don't expect to remember the words right away. Just relax and enjoy the language. You will learn the words gradually as they reappear in current and future lessons. Before you know it you will realize you know many of your yellow words without having done any deliberate reviewing at all. Just seeing the words in multiple contexts and clicking on them again to remind yourself of their meanings, will help them sink in.
* You don’t need to learn all words before moving on to a new lesson!
Every time you see it or hear a word is another review of that word. Most of your review will happen naturally in your lessons. The main thing is to make a lot of LingQs and keep moving. Words that matter will reappear in future lessons. High frequency words will be learned first and the rest will be learned over time.
Reviewing this way will allow you to learn the tens of thousands of words you need much more quickly and in a way that you will actually retain them. After one month you will be amazed at the words you have already learned. After 3 months you’ll take a significant step and so on over time. It’s like a snowball rolling downhill, it gathers momentum exponentially although progress at first may seem slow.
Having said that, the review tools are there and can help you get started, or for a change of pace sometimes to do something different while still learning. Or, to help you focus on specific vocabulary lists which you can create by tagging LingQs and then filtering for these tags in the Vocabulary section. Do what you enjoy but heavy memorization is not really necessary.