Have trouble retaining material I learn in grad school. Is this common? I have just began my first year as a math graduate student at a US school. I am having an issue in the fact that 

During my undergraduate years, I would only take 2-3 classes a semester, and usually only one or two of them were a math class. This got me used to a particular style of learning; I always had as much time as I wanted to spend on any particular topic; I would read about the topic from different books, read about the history of the topic, etc. I feel like I learned very slowly, but what I did learn, I learned well. 

Now I am in grad school, and the atmosphere is completely different. I have 3 math classes which move very fast, and assign a lot of homework. I feel like I do not really have time to learn the material well; I learn the material just barely enough to to do the homework and pass the exams, and then I have to immediately push on to the next topic. I solve the problems and try to understand the theorems/proofs, but then one week later I often retain very little. I always feel like I need 2-3 more passes over the material to learn it well, I never get a chance to do it.

I feel like some of those undergrads who just learn the material to pass the class, not really to use it. But this is terrible to do as a grad student, since math is supposed to be my specialty.

My question is, is this common? I am trying to figure out if this is normal, or if I handicapped myself in undergrad by taking it too easy. It seems to me like there are some students who retain information much better; they study much less than me, and seem to recall information from weeks before, and I can't do that.
If you're putting the time in, successfully doing the homework, and passing the exams, then you're doing fine. The first year of grad school in mathematics should be thought of as a horrible bootcamp to get through rather than a deep learning opportunity. How comfortable someone is during their first year is mostly a function of what their undergrad experience was like. So it might be true that your undergrad program was less strenuous than that of some of your fellow students, but if you're keeping up, you're getting the job done.

Depending on your learning preferences, you might find that things percolate better if you work with others. I would also suggest that you keep good, searchable records for what you want to get back to at a later date. This will be especially helpful when it comes to prepping for written exams.