How to begin watching movies in French?

I have been trying to learn French using Duolingo for the past two years. Recently I have added other things to try to speed up the learning process. My weakness is understanding spoken French. So.... I decided to try watching movies in French. I just watched the first episode of Little House on the Prairie dubbed in French and with French subtitles. I figured this would be a good place to start because I read all the books when I was a child so I get the gist of what's going on. It's pitiful though how little I actually understood of what they were saying. Without the captions I would have likely been totally lost even though it moves at a slow pace.

Any recommendations how I might approach watching movies/TV shows? Should I hit the pause buttons when I encounter words I don't know? Look them up and write them down? Should I just go with the flow and see how much I begin to absorb over time?

Thanks for suggestions.