Yes, so you then practice the transitions between tiny parts, as well as starting at random points. Students who make unrecoverable mistakes in performances from memory often have to backtrack to the beginning of the previous part, because that's all they ever practiced starting from. (Even when you're not trying to memorize a piece, you're still building up a mental model and you don't always want things coarsely chunked.)
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I just got back from the July CFAR workshop, where I was a guest instructor. One useful piece of rationality I started paying more attention to as a result of the workshop is the idea of useful questions to ask in various situations, particularly because I had been introduced to a new one:
"What skill am I actually training?"
This is a question that can be asked whenever you're practicing something, but more generally it can also be asked whenever you're doing something you do frequently, and it can help you notice when you're practicing a skill you weren't intending to train. Some examples of when to use this question:
Many of the lessons of the sequences can also be packaged as useful questions, like "what do I believe and why do I believe it?" and "what would I expect to see if this were true?"
I'd like to invite people to post other examples of useful questions in the comments, hopefully together with an explanation of why they're useful and some examples of when to use them. As usual, one useful question per comment for voting purposes.