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Try a basic leg slap. Practice walking while rolling your hips and hands. Do a glove peel. Perform the bump and grind. Teach yourself a stocking roll. Seek out professional training.
To do a leg slap, stand in a relaxed pose with your legs about hip length a part. Bring out your right hand and right leg at the same time, bending your arm slightly at the elbow and pointing your fingers away from your body. Turn your head to the right as well. Then, give your leg a light slap and turn your head forward at the same time. This move can be used between dance moves or as a way to start off a dance routine. When you walk on stage, you should engage your hips and arms. While walking, deliberately sway your hips side to side in a gentle, rolling motion. Matching the rhythm of your hips, twist your wrists slightly so your hands make a light, dancing motion at your side.  This takes some practice, so try it in front of a mirror at first. Make sure you're not over-gesticulating with your hands, which can look dramatic. Keep your movements light and sensual. It can help to watch images of burlesque dancers online to get a sense of the right movements. Many burlesque dancers wear gloves. Sensually peeling off your gloves is a great move to add to your routine. To do a glove peel, use gloves that reach your elbows. Loosen the base of the glove with one hand and then bite the tip of the glove's index finger. Gently pull on the finger of the glove with your mouth while extending your hand away from the body until the glove slips off. Dancers do different things with their gloves depending on their routine. You can toss the glove aside or toss it to another dancer if you're doing a show with someone else. Spread your legs apart. Bump your hip to the left and then to the right. While you do this, rotate your hips in circles for added movement. For added sexuality, you can gently move your hands across your body while you engage in this move. For this move, wear knee-high stockings. Sit in a chair and stretch one leg out in front of you. Slowly move your hand down your leg until you reach your shoe and then remove it. Then, starting at the top of your stocking, gently roll it down your leg until you reach your toes. Use a cane, or similar prop, to slowly pry the stocking off of your foot. As with the glove move, it's up to you to decide what to do with your shoe and stockings after removing them. You can teach yourself a lot of the basics via practicing at home. However, classes can be an invaluable experience and teach you more complex moves. They can also be a great networking opportunity. Search online for burlesque studios in your area and see what kind of classes and certification programs they offer. If your area doesn't offer burlesque classes, try general dance classes to improve your overall skills.