I am primarily a developer but love playing in SQL as well, so I can associate to some degree with you.

For me the more I played in Query Analyzer trying to consolidate my code the more I began thinking in set based terms. I love less code, the more consolidated it is the more I like it. Most of the time consolidating the code makes it more set based ( not all the time though ).

Subscribing to newletters like SSC have helped to immerse myself in the technology. I am still very guilty of making mistakes and writing poor SQL code, but I get better with each mistake.

Learn to write selects, the more complicated the better, that taught me most of the syntax and method of thinking that I needed. Then later when I needed to manipulate the data further I was able to take my basic selects and tweak them to perform updates, deletes, and anything else I needed.