The single most important thing to self improvement, is to figure out who you are.
If you try to be anyone else than yourself, it will all be an act. However, what you need to focus on is to become the best version of you possible!
Once you've got yourself all figured out, start doing things that you enjoy doing. You mentioned picking up some "random skills" like magic and psychology. This will not work unless you are genuinley interested in them. I for one, love psychology! Hence, this is one of my main areas, both game-wise (pulling triggers etc.) and conversationally.
As for the "right thing to say", there is no such thing. There is no magic pill. Game is a skill, and it takes time and A LOT of practice to develop. Of course, you have people that are naturals, the ones that just gets the women and don't really know why, but since you are here I don't think you're one of them. As far as the "right thing to say" I can only think of one sentence that might get you laid right off the bat - "Hi, wanna go back to my place and fuck? No strings attached, and we'll never talk to eachother again." If you say this as the bar is closing to a girl who haven't got anywhere to go, she might actually agree to it.
Where to start? Buy some books, lurk the forum, find something to start working on and then go DO IT. I strongly reccomend the newbie mission:
the-newbie-mission-vt41556.html