Honestly, bar and club game is not my thing, although it works for plenty of other guys here. Talk to Lookyoung; he's good at it. I would guess that you might be too results-oriented and not actually enjoying the process. If you're not having fun, then you're not fun to a girl.
I say that I don't "cold approach." But by that I mean that I don't stand in one place at the mall and bother every cute girl that goes by. It seems like loser behavior to me; I know women find it creepy. If that tactic works for some guys, then I am happy for them, but it is not my idea of "cold approaching." To me, that skill is being able to chat up the hot girls that you just happen to look up and see next to you, or the one who does give off a "vibe" like eye contact, smiling, initiating physical contact, laughing too much at your jokes, or acting fascinated with your interests.
Women want to feel special. They want to be feel like you are not just another horny guy, and they are not just another piece of ass. Of course, those things are probably true, but you have to work the fantasy. The idea of a guy "sarging" the mall up and down creeps out a woman because it does the opposite of make her feel special. What you want to portray is the opposite of that with a cold approach, like you would never just talk to a strange girl like that, but you felt a connection that was, of course, special. Make her laugh, share a joke, stare into her eyes and not her t!ts, talk about her feelings, and then just happen to get her number, email, or myspace. You can repeat this process over and over. Try not to do it right in front of the girl you just got a number from.
There are lonely women everywhere. Every woman who does not have a guy would love to be swept off her feet by a charming stranger. You just have to make her feel special.