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On the dance floor, it is best to open non-verbally. I used to come up to girls very firmly and ask if they wanted to dance and then take them by the hand. I still do that when approaching a group and it works pretty well.
Most of the time, I just do a combination of proximity game or simply look a girl in the eyes and wait for her to come up to me.
Talking to a girl while dancing is a good way to build an emotional connection. The important thing is to convey the most meaning with the fewest amount of words.
I used to go in non verbal and just go with the music start dancing then dance with the chick... I have to admit that the rejection rate is lower... but the risk is not worth the lower rejection rate imo. If a chick is with her boyfriend, over-protective brother, etc... chances of physical altercations increase 10 fold. Personally, if I get in a fight, I won't be able to go out to any clubs for a long time... and that isn't worth it for me.
Do what works for you. Do what you value most.