I just started with my first case with a friend, and he is more advanced in case interviews so he knows how to give feedback.
What I started doing (and this might change as I get more experienced) is use Microsoft OneNote to write down feedback after every case in the following format:
[-] Quick overview of the things that didn't go well
[+] Quick overview of the things that went well
[Case specific findings] Smart things I discovered/answer sheet provided - regarding the case in question
[Detailed feedback] Every interviewer will give you different feedback. It makes sense to ask every interviewer for specific feedback (better yet to let him/her know in advance, so they can focus on these points).
I plan to do this for every case in a different sheet. After 10-20 cases, it's good to take a day to review these notes and sharpen your skills.
Hope this helps a bit,