Actually make written down predictions about the future. If you don't make real written down predictions you will never know how bad you are at predicting the world around you.
How many people actually bother to do this?
Written predictions seem like they would be a lot of work, but maybe this is indeed worth trying.
An excellent way to improve one's skill as a rationalist is to identify one's strengths and weaknesses, and then expend effort on the things that one can most effectively improve (which are often the areas where one is weakest). This seems especially useful if one is very specific about the parts of rationality, if one describes them in detail.
In order to facilitate improving my own and others' rationality, I am posting this list of 11 core rationalist skills, thanks almost entirely to Anna Salamon.