It really depends. If you want to follow the qualitative route you could rely on critical discourse analysis to explore the most relevant documents related to a specific field (economics; environment; health) and you could also carry out semi-structured interviews with relevant actors (policymakers, national and local leaders, ordinary citizens to assess how these policies work in practice).
Read all of the EU Commission website ! It gives you a very useful overview. Also read all the policy law that has been adopted over the decades - when you've chosen your topic - before any theoretical interpretations or analytical models.
Following the actual process of deriving and implementing it. As Monica suggests a great deal of specification would be required because the topic is huge and should be narrowed down e.g. policy on healthcare/trade/agriculture ....
Read the website, then read the books with "EU social policy" in the title? See Amazon, there are several on each aspect of social policy including labour and social security.