That's pretty much it, practice practice practice. I took a week at one point to say i'd work with nothing but the pen tool, no matter how frustrated I got with it. It paid off, it's now one of my favourite tools.

(note, the following assumes photoshop, I imagine other software could be similar)
One of the things I wish i'd been aware of sooner is the pen's behaviour when you're setting points. If you just click once and release, it will drop in a point that acts as a corner - the lines coming out either side will go at sharp angles. If you click to set the point, and (without letting go of the mouse button) drag for a bit, it will create a rounded bezier curve based on that point. Seems simple enough, but remembering that as you go will save you some time since you won't have to go back as often with the "convert point" tool And until you get the hang of it, more control points are better than less, so don't be afraid to go click happy while you experiment. Plus you can always set your tool to "add new point" or "delete existing point" once you have the initial line set up.
Another good thing to remember is that you can hold down the ctrl key when dealing with the bezier curves, it will cause the handles for each side of the curve to move without affecting the other handle - handy for those hard to replicate curves

One of the things I did to practice (besides doing every tutorial i could get my hands on) was use the font tool to drop in a letter as a selection, converted that to a path, and then messed around with it.