It's a performance just like any other, so just like any other self-taught performer learns their art-- some combination of training, research, practice, and seeking critique. I've known a handful of people that found their local Toastmasters International clubs to be a great start. I've known about as many people who dramatically improved their off-the-cuff social fluidity by taking improv comedy classes-- which is pretty admirable but I think I'd rather repeatedly whack myself in the kneecap with a ball peen hammer than take an improv comedy class. (though maybe that means I should take one? I dunno.)