Take a class. Many high schools, junior colleges and adult-education centers have life-skill classes. People often build life skills by taking parenting classes, but these facilities often include other instruction as well. A popular class is credit management.
Write a journal about your experiences. Get a cheap notebook, and write two times a day; write once in the morning, and once at night. If you cannot think about anything to write about, predict what you want to have happen that day. For example, if you want to learn about finances, credit or how to manage money, predict how you might go about doing that---talk to a teacher, visit a bank and so on. Details your experiences before you go to sleep at night.
Care for yourself. Taking care of your body and mind should be a lifestyle, and not just a passing "fancy." Make sure you eat right, exercise and get plenty of sleep. If you have a chronic medical condition, avoid too much alcohol, It may impair your ability to sustain normal body/brain chemistry.
Prepare to make mistakes. Understand that you are going to do things wrong. The sooner you can forgive yourself, the better off you will be. Far too often, people get quickly discouraged. To build life skills, be sure to set small goals for yourself everyday.
Learn from others. Many people, past and present, have had similar experiences. You may be able to take something relevant away from that. If you find you are too shy to talk with people, consult a self-help guide. Find a relevant fiction book if self-help guides are not for you.