Yet I've done better doing the opposite. When faced with incompatible courses of action that optimize different things, look for a third alternative that gets both. The choice doesn't have to be hard - even if the optimizing targets are "save the world" and "talk to cool people", frustration with the obviously right choice triggers a search for a third alternative as well.
I'd conclude that the most important skill is to stop, notice you're confused, and work out that it's because you're trying to optimize two goals. Whether you then optimize them separately, or find a third alternative, you'll probably do better than if you conflate "grades = learning" or "utilons = fuzzies" and try to optimize that non-existent conflation.
Recent brainstorming sessions at SIAI (with participants including Anna, Carl, Jasen, Divia, Will, Amy Willey, and Andrew Critch) have started to produce lists of rationality skills that we could potentially try to teach (at Rationality Boot Camp, at Less Wrong meetups, or similar venues). We've also been trying to break those skills down to the 5-second level (step 2) and come up with ideas for exercises that might teach them (step 3) although we haven't actually composed those exercises yet (step 4, where the actual work takes place).
The bulk of this post will mainly go into the comments, which I'll try to keep to the following format: A top-level comment is a major or minor skill to teach; upvote this comment if you think this skill should get priority in teaching. Sub-level comments describe 5-second subskills that go into this skill, and then third-level comments are ideas for exercises which could potentially train that 5-second skill. If anyone actually went to the work of composing a specific exercise people could run through, that would go to the fourth-level of commenting, I guess. For some major practicable arts with a known standard learning format like "Improv" or "Acting", I'll put the exercise at the top and guesses at which skills it might teach below. (And any plain old replies can go at any level.)
I probably won't be able to get to all of what we brainstormed today, so here's a PNG of the Freemind map that I generated during our session.