Which one are you learning?
Have you studied any of the Inventions/Sinfonias?
Polyphonic music tends to demand a sense of kinesthetic understanding, cognitive understanding, and aural awareness all at the same time, and more specifically, in the early stages of learning pieces. In homophonic texture, such as frequently encountered in romantic music, the separation of hands also tends to align with the organization of the music: the RH may play the melody, the LH plays the accompaniment. Thus it is easy to follow the lines because you can clearly visualize it when you play hands separately. However, polyphonic music is not like this, where foreground and background elements may take place in any hand, in any part of the keyboard, even divided between two hands.
Playing polyphonic music hands separate as written in the score will generally get you familiar with the kinesethetic movements, but not necessarily the conceptual understanding of the music. You may need to isolate the individual lines and play them in order to hear them. Don't worry about using actual performance fingering because your goal would be to learn the line, not how you will eventually play the piece.
Becoming familiar with the basic elements of a fugue will help. Learn about subjects and how to identify them along with their various transformations.
You may wish to look at the fugue chapter in the following book. It is a very detailed book so you don't have to dig too deep at this point. Just read the first few pages and skim the chapter to see what goes into writing a fugue.
https://archive.org/details/counterpointappl00goetuoftHere is a breakdown of fugue anatomy, and some of the devices you may encounter in fugues.
https://www2.nau.edu/tas3/fugueanatomy.htmlThings you can start to work on at the moment:
Identify the subject (and answer), and all occurrences of it in the fugue. Mark with pencil if you need to.
Identify the basic structure of the fugue: exposition, developmental episode, and coda.
At the piano, play in isolation all occurrences of the subject you located in the score.