Find a project or create a project that relates to your field that you are interested in, and work on it.
I've graduated with a degree in Web, and a degree in software engineering. When I was in school I started working on a custom web application to help the high school band director manage information distribution to the parents of the band members. I volunteered my time, and the money for the web hosting and domain name registration, and worked out an agreement with the director that I would retain rights to it all.
This was a project I was interested in, that related to my field, that I created, and worked on.
I guess this depends on what you want to do, which your op doesn't advise. I decided I wanted to work as a Linux sysadmin. The first stage was to develop a god complex.
However, in all seriousness I simply sat down and geeked out over it. Got a low level job in a company that uses Linux and started to work my way up.
If you want to develop software there are plenty of open source projects that you could join. I would suggest joining one that you already use. Generally the members of such projects are more than happy to help you develop your skills.
When it comes to developing skills in a specific field, there really is no one correct answer. The one thing that is true with almost any skill is practice. If you want to build up a specific skill, you practice it. So whether you get a job utilizing the skill you want, or a side project that does, practice is what experience is made of.
Long story short, pick your skill, and find a way to practice it.