Which should I use??

Many people say that if we learn a language that is not our native language, we should use the dictionary which is written for what we want to learn.

As for me, I always use English - Japanese dictionary and translate to Japanese because it is the faster way to understanding what is the meaning of words. My English teachers told me I should use English - English dictionary and think in English and I agree with them. But, I need a lot of time to know the meanig of words if I use the English - English dictionary because when I try to find the definition of a word, I look at other unknown words in that definition and I would use the dictionary again and again. It is kind of a never ending story. Many times I can't understand it clearly and finally I use the English - Japanese dictionary.

I'm curious which dictionary does people who want to learn non native language use?