I use this almost every day–have had some Japanese show in rotation, usually through Netflix, for about the past eighteen months. Great way to pick up vocab and get listening practice.
I’d recommend attempting shows without Japanese captions once you get more comfortable, and turning them on or off depending on the speed and complexity of dialogue in each particular show. (Or depending on what your goals at that moment are–having captions on is more useful for vocab- and phrase-acquisition, since you can clearly see everything written; captions off is more useful for raw listening practice even if you sometimes settle for partial understanding.)
If you want to watch something not originally in Japanese, you can also use the Japanese dubs of shows if you’re actually on Japanese Netflix. (Though the captions are usually more direct translations of the original script, so differences between the spoken and written dialogue could be a minor distraction.)
I sometimes pause, or go back to check lines, and enter new vocab into digital flashcard decks.