GRIND GRIND GRIND!!
They come over, smile whatever, you SMILE BACK. Simple. They dance close to you, you get closer to them, they've shown interest in you, if you dont show any interest back then of course they will bugger off, the same ego thing about not wanting to be rejected is how they feel, if not more so. Guys are supposed to take it and laugh it off, girls tend to take it more personally. Once you've got their interest and have either pulled them or now that things are going well, ask if they want a drink and go to a bar or area where you can chat. Personally I dont do much talking at all on the dance floor, nobody can hear you and you end up shouting at them. Not good. Chat with them, flirt, have fun, then get them back on the dance floor or back to your place for a good evening. If you have confidence issues, drink a bit. Not too much, maybe a couple of pints, you dont want to make a cock of yourself on first impressions.