Take an improv class. There are many benefits to taking improv classes. The biggest advantage is that it'll help you become comfortable performing in front of others, which is a crucial skill for a stand-up comedian. Starting in a class environment is significantly easier than getting on stage at a comedy club for your first time because you’ll have support from your instructor and a group of other beginners. An improv class will help teach you how to think on your feet and ad-lib, which are essential skills for crowd work and dealing with hecklers.