Knowledge can be studied, but skills you desire to learn or improve must be practiced. You have to practice - to do - skills in order to learn them. This is because, generally knowledge is something you learn mentally and abstractly, while skills involve some amount of physical coordination, or experiential learning to take place. Skills are connected to the world and allow you to manipulate the world, while knowledge is more intangible. Skills you can learn include: how to speak in public, how to build a house or fix a leaky washer on a faucet, how to make a web page, how to ask out someone on a date, and how to cook a meal. You can learn such skills or others in a class or group, or from a description printed in a book or web page - but they won't help you and you won't learn them unless you practice
The old saying, "Practice Makes Perfect" is only partially correct. It is very much true that the more you practice something, the easier it will become. However, there is not necessarily a relationship between how often you practice and how well you execute a given skill. It is entirely possible for you to learn a skill incorrectly, or to introduce bad habits and poor form into a skill you spend a lot of time practicing. Bad habits or poor form may endanger you at a later time. For this reason, it is a good idea to get an experienced person who has mastered the skills you are pursuing to periodically view your practice and give you corrective feedback so that you stay on the right path while learning.
If you don't have access to an expert, you can become your own expert by videotaping or recording your performance and then critiquing it during playback. Practice only makes perfect to the extent that you practice correctly!
New skills you practice will very likely feel odd when you first attempt them. You will be trying to do something new, and you may be uncoordinated at first, or feel self conscious. The more you practice, the more such feelings will recede
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It is one thing to practice by yourself or with a small group; it is another entirely to perform a skill in public situations. It is quite common to feel some anxiety or "stage fright" the first couple times you perform a skill in real life situations Anxiety can be distracting and it can keep you from smoothly executing the skill you've learned. You can loosen the effect of anxiety on your performance (and lessen your anxiety at the same time), by practicing your particular skill over and over and over again in a process called Overlearning. When you overlearn you deeply ingrain action routines and habits necessary for your skill performance into your brain so much so that they become independent of you having to think about them in order to perform them. Once overlearning has occurred, it doesn't matter that your mind becomes clouded with anxiety and you get distracted, because your performance no longer requires you to think clearly.
For best results you should practice in as close to real-life conditions as you can. For example, if you are practicing a stage performance, you should practice on the actual stage you will perform on if at all possible. If you are practicing faucet repair, you should practice taking apart an actual faucet again and again until it becomes second nature.
If it is not possible to practice in a realistic setting, you will still benefit from practicing. Simply practice in as close to a realistic situation as you can, and use your imagination to fill in the gaps.