So you want to learn to play CTF… There is no secret book or magic bullet to make you good at it. The only way to improve and be better is to practice (and study).
Have a look here to learn more about CTFs. You can find some links to good resources. What is the subject you are more interested in? Crypto? Web? Reverse? Exploit?
There are also some wargames and challenges.
Look at past CTFs challenges, try to solve them. Having an hard time with some of them? Try again and again.
Still no luck? Come at LaSER and we can have fun together trying to solve it :)