Good musicians know the benefit of day to day practice no matter how accomplished they might be.  In addition to refining acquired skills, practice includes exercises to discover new possibilities beyond what is already accomplished.  These sessions can make the difference between being a mediocre musician and a master.  But practice sessions are behind the scenes. They are not performances.  

Painters, too, benefit from doing exercises that don't get exhibited, but serve to explore ideas and refine skills. However, painters seem to think exercises are a waste of costly materials, but I disagree:  nothing is a waste if it aids your progress.  And very little contributes more to becoming a better painter than exploring possibilities beyond what is already comfortable. 

There are ways, though,  to get round the expense issue.  For doing studies and other exercises, oil painters can reduce costs by applying gesso to regular printer card stock, using these sheets instead of boards or canvas. Watercolor, gouache, acrylic and pastel painters can do studies on student grade pads. Regardless of your favorite medium, you can find an inexpensive material for doing practice studies.

So how do you do a study?  Begin by asking "What would happen if...?" and go from there. Take the attitude that you are exploring.  Give yourself permission for the study exercises to be messy and even ugly. The only requirement is that you don't plan to show them, rather consider this the same as a pianist practicing scales or working out new piece.  

Here are two sets of my studies exploring color and light/shadow possibilities for a bearded iris.  

In the study of the left, I was exploring neutral gradations as well as value gradations for colors I saw.  In the one on the right I was exploring a possible limited palette.  The painting below is one of several after having done a number of studies.

One way to look at this is that the studies above are the practice sessions and the painting below is the performance.