if walking up to a chick and asking her to dance, or just initiating a conversation and getting 'rejected' affects you, you're not in the right mindset to do it.
You should be having FUN with your friends. Have a drink or two, and then just initiate a conversation with a few chicks, and if the first one rejects you you just turn around and go talk to the next one. You try a few times (while you keep having fun with your friends), and if no girl seems interested that night, oh well, no biggie, it is a numbers game so the fact that three girls in a row showed no interest in you doesnt mean that there wont be a fifth girl that will end up fvcking you.
Of course you have to look your best in a club, and well, everywhere if you want to pick up chicks. I have to say that if you approach girls that are way above your 'league' the chance of getting rejected indefinetely is too high lol.
But as I said, if you get hurt because one chick doesnt want to dance with you or talk to you in a club, you're not in the right mood. It should not phase you, or very little.
Dont go there to 'hunt', go there to have fun and to talk to a few girls. Do not consider it a "mission"; picking up chicks in a club is an extra.
P.S.
I've picked up a couple of girls in clubs but I have to say that I dont really like to go there anymore. I've been in clubs hundreds of times because, oh well, it is what everybody does when you're 18-30, but now that I learned to dance salsa, I normally pick up chicks there. Why...? because:
1- I always have fun when I go to a social dance.
2- I dance good now so the majority of girls dance way worse than me, so I get extra points.
3- I feel confident, and I know a lot of people in that environtment.
4- There are way more girls than in a club; it is not a sausage fest. lol.
Find your spot!