For me it's a bit automatic. If I hear a tune often enough, eventually, I will learn it well enough to whistle. And if I can whistle it, I can play it on any instrument on which I can play a scale. If it's not automatic for you, maybe you just need to hear a tune more times than some other people before you learn it.

Back when I used to attend weekly jam sessions, I would take a tape recorder with me and tape them (every week). Then I would listen to the tunes I wanted to learn over and over until I knew them. Sometimes I have to replay a particular passage over and over again, while playing just that passage until I have it down, if the passage is complicated or difficult.

Learning by ear has its good points and its bad points from my perspective. There are tunes that I want to learn exactly as they were written. Those tunes I try to use sheet music to learn. Other tunes, it isn't as important to me whether or not I learn it exactly as written, or maybe it's old and has many variations. Those, I don't mind learning by ear. Exception to this is chords. I am only able to learn melodies by ear, and sometimes very basic chords. If I want to learn a complicated chord progression, I need sheet music.