Student or Learner
I have a problem : i do not know the right way to ask a question with SHOULD
Is it this way : what strategy SHOULD I FOLLOW ???
Or this way : what strategy I SHOULD FOLLOW ????
Constructing a question with "should" is no different to constructing any other question. Reverse the subject and verb as you did in your second suggestion.
I am a cat.
Am I a cat?
You are tall.
Are you tall?
I should follow this strategy.
Should I follow this strategy?
Which strategy should I follow?
Remember - if you don't use correct capitalisation, punctuation and spacing, anything you write will be incorrect.