I also think that drinking enough can help you withstand rejection, just don't get too drunk. This plan is only good if you aren't planning on driving back home.
If you really want to nail your first approach, I would suggest first getting out in the middle of the dance floor and start dancing by yourself. This helps you get your body used to moving to the rhytym and the beats, so your first approach comes off more smoothly. Then find a girl nearby and casually approach her for a dance.
NEVER approach a girl as soon as you spot her from a distance. I've been shot down many times by using this technique because you come off looking kind of creepy. You should only do this if you have already danced with a couple of chicks and you are feeling extremely confident. Otherwise, keep doing nearby approaches.
Hope this helps!