See if you can find somebody who knows more about fly fishing to go out with you, let you watch what they are doing and give you some tips. You may have to hire somebody from your fly shop for this, but it will probably be worth it.

Pay special attention to how they rig up, mend, control their drifts, etc.

Also keep in mind that fishing is slower and more difficult in the winter months. the fish won't move much to get food and the takes on nymphs can be very subtle. The fish will also tend to be fairly close to the bottom on moving water, so be sure you have your fly down deep enough to bump along the bottom.

Hang in there!