I'm new to operating but learning fast! I would suggest you create a really good QSO template (I'll add mine later) to help you on your way. Mine has really helped and even when I didn't copy all of the other stations over I was able to respond and get my nerves ready for his next over.
There is a really big step in sending to be overcome that is sometimes written about but only in the best guides so I'm saying it here too (modest eh?). Learning to send well whilst reading the text to send is easy - learning to send from words you are creating in your head is the art. Use WD6CNF's CW decoder to practice sending and do it from your head. You will really build up your confidence, I know I am.
Don't be afraid to ask for a repeat of a name or QTH, lots of people do. I find that responding with the other operators name makes them a lot more patient when you start out so make a real effort to get it right or ask for it!
Read the advice of the masters, only some of which is referenced here.
KB0OBU's CW operating manual - Thanks Sparqi (and Marco IZ2LSO for sending me the updated link!).
As an example I always send QRL? (is the frequency in use?) twice. I am always expecting a C or Yes so I know to move on but to my surprise I got a 'No' sent back, dead on frequency. Did they mean 'No it's not busy I'm just listening, please send some more?' or 'No, don't transmit here', or something else? I decided to move on so as not to cause distress - the easy way out often - but did I miss some DX?
USE A PENCIL! Pens take too long to get the ink on the paper legibly.
Read regular on air QSOs - avoid operators who send poorly formed CW for a while, your head needs to work ten times harder to decode them!
After the Datong FL-3 was added to the setup I am amazed at how much better 40m is to operate on! So make sure you have a good CW filter or audio filter to hand and know how to use it.