How do I approach an unseen poem?

First things first: read the poem! And read it more than once! Don't expect to understand it when you first read it: you're not expected to. Read it once to get a general sense, then a second time for a better understanding, and then a third to look more closely at its techniques. By the third reading, try to have an idea WHAT the poem is about e.g. who might be speaking? Is it set somewhere specific? What themes does it express?

You should read with a pencil in your hand and annotate literally anything you notice: a rhyming couplet, some alliteration, caesura, personification etc. Then once you have read it through three times and understand WHAT the poem is about, you can look at the things you have noticed and ask: WHY has the poet used these techniques? How do they link with WHAT the poem is about?

These two aspects should help you understand the poem so that you are able to then form an essay answer about it.