Seeker brought up a good one a while ago, look at an object in the distance and then let it pull you to it! I tried it with the moon, it got disorienting when I started to get close because I was moving so fast it balloned in front of me and then it was like I was diving head first at the ground, turning myself around got me all dizzy =)

Another way is suggested by the hitchikers guide to the galaxy, one of the most incredible books to have ever been published.

The trick falling and then missing the ground. Dont think to yourself "Oh my god im flying" because thats impossible, and gravity might then notice you hovering about and promtply put an end to it, just let it happen, dont think about it... think about lemurs... or something else that your not quite sure about, its like moving a muscle...

Look at your hand and move your pointer finger... easy right? Now try to isolate the thoughts and actual commands in your mind that made your finger move... I havent found it out yet...If you try to think your finger to move it wont, but if you jsut move it theres nothing easier.

If you are trying to think about flying like trying to isolate what it is you have to do you will not find it, its like moving your finger, it just kinda happens, so stop thinking so hard about it and just let yourself fly.

While the superman is fun, I still prefer my wings

If you find you can change your shape in your dreams but cant do the superman start of simply as a bird. If you find your having trouble still watch birds in flight in the waking world, look up how a bird flies, what muscles are involved, when you Know how they fly and you have watched them take off, land and what not, that knowledge will remove the doubt in your mind that is anchoring you to the ground, and then you will fly as the birds do.

Or you could just build an antgravity device, many think its difficult to do but its actally quite easy, So everyone knows cats always land on their feet right? And everyone knows that buttered toast always falls the buttered side down... simply strap a slice of buttered toast to the back of a cat, with the buttered side facing out.

Throw the concoction up into the air and the buttered toast wants to hit the ground but the cats feet dont and voila... instant anti gravity.

Why do you think alien spacecraft make those humming noises? thats a lot of cats in there...

=D