I recommend the use of an electronic dictionary. They are much more convenient than paper versions. First it only takes 2 seconds to find the word you are looking for, you can cary it everywhere like a pocket dictionary, but it contains more and also gives plenty of examples, and last but not least with the Canon ones (only, it seems) you can also click on a kanji you don't know to get all it's reading and meanings, something that is impossible with a paper dictionary.
There are other advantages ; you can save 100 words in memory to memorise them later (and don't need a pen with you every time you check a word), the dictionary automatically keep the last 20 words checked in another memory list. Then, there are at least 4 dictionary in one (eng-jap, jap-eng, jap-jap, kanji), sometimes including also thesaurus (jap-jap or eng-eng) and katakana dictionary. Finally, finding a kanji is much simpler and quicker ; one just has to input the reading or number of strokes and that's it.
I use the Canon IDF-3000, which is actually one of the cheapest of its kind (10.000yen), but I am entirely satisfied.
For online dictionaries, I recommend
Jim Breen's dictionary which is extremely complete (but lack examples)