How to improve myself as a lecturer?

It may work very differently depending on the group size, their skills and engagement. My only experience (when it comes to lecturing, not - giving a talk) is with teaching gifted high-school students, for other cases (less skilled or less motivated students, or stricter plan) it may not hold.

Never assume that students follow you, just because they are silent, nodding agreeably, saying that they follow you or even (especially?) repeating your phrases. By interaction see if they get the idea, sort of get the idea, or don't get it at all.

(And "make it slower" is not an universal remedy, because either they may be totally lost at this point, or they may not follow because it is already to slow to keep them awake.)

After giving a course ask a few students is person to name 3 strongest and 3 weakest points of it. (It's important to do it, i.e. to force to give 3 weak points, because otherwise they may be not that willing to do so. All courses have >=3 flaws. The questions is if they are minor or serious. And beware that a mean grade of a course (e.g. student gave you on average 7.6/10) is almost meaningless, even if split into categories; only text based comments make sense.)

Be inviting so they ask questions (compare: "exams are a sick thing, when the more knowledgeable person asks question the less knowledgeable one". ) Don't kill the natural curiosity. And remember, if they knew everything, then it would be not point fort them to attend your course.

(BTW: One of my friend was giving a candy for every student asking a valid question, regardless if simple or hard.)

If the material goes slower that you want, never (once again: never):

• cut breaks (without a break many could leave the other part, learning not less),
• just run faster (it makes it even more incomprehensible).

Just plan better the next one, given you have some feedback. Writing a lot of stuff on a whiteboard may trick you into believing that you explained them, but in fact you did a chaotic, unpleasant lesson. Compare (excuse me for an entropy joke):

Efficiency of teaching is measured by mutual information between you and your audience.

Not by entropy of your blackboard nor entropy your created in their minds.

Both are poor upper bounds.

Other things:

• watch others giving a lecture,
• record yourself giving a lecture.

The way I learned how to lecture was just drawing on things other professors did that were beneficial to me. If you are going to get a PhD however, teaching will be secondary. The focus on the program you go in will be teaching you how to conduct research and write papers for publications.

That being said the best way to improve, in my opinion, is to record yourself giving a lecture. Just audio is fine, make sure you are covering the context... Every lecture I give I make sure I have the following components in it:

1. I get to class early to talk to students as they come in and make sure I have all of the equipment ready to go.
2. I bring some anecdotal humor into the lecture. I don't sit there and tell knock knock jokes, but I make it relevant to them.
3. Use previous material to frame the new material.
4. Let them go early if I finish early.

In addition to that I use an Audience Response System, or clicker, and that helps keep the students actively engaged (class of 350 freshmen).

As JoshRagem said in the comments of the question, don't lecture. Bloom published it scientifically as "The 2 Sigma problem".

Some ways I found to make a class less of a lecture (items marked with a * are covered in Lecture 6 of Teaching College-Level Science and Engineering):

• wait 5 seconds after a question (this is an eternity in front of 30+ students)*
• use a feedback sheet every class meeting, to learn about your students*
• use conceptual multiple-choice questions (individual or small groups)*
• use conceptual multiple-choice with lots of discussion (entire group)*
• buzz groups (although not easy to do when you're starting out)
• keep traditional "lecturing" to maximum 10-minute bursts, followed up with questions, exercises, etc.

Interactivity Engagement takes time during the course, which takes away from presenting "content." The solution is to not teach all the content during class time. You'll have to expect students to do the reading for the most material, and use lecture time to validate, reinforce, personalize, etc.

Although I'm definitely not the best instructor, I know I have improved a lot thanks to some other points:

• Get an evaluation from the "pedagogical resource" person at your institution (hopefully this person exists!). The evaluation was full of small, useful details about teaching. You might want to check your ego at the door, however, when you get the feedback.
• Tell your students that standard lecturing is not efficient, and that you want to raise the bar. But to do that you expect them to be prepared (to have done the reading) when they come to course for the interactive part. If I find they've not done the reading, I start to give small quizzes on the reading at the start of every course (I have 3-hour courses, so it's once every 3 courses if you have a 50-minute course period). These quizzes are multiple-choice and the questions can be used as the conceptual questions as above. The value of the quizzes is minimal in their final grade, but it engages the students.
• Tell your students that making mistakes is essential when learning. Encourage them to vote on multiple-choice questions. Sanjoy Mahajan states that "clickers" allow anonymous voting, which socially doesn't engage the students. It's important to get them to vote, but also to make them feel that being wrong is "more than OK" (because it's how we learn).
• Keep training yourself about pedagogy; try to stay motivated to teach well. Pedagogical patterns may be of interest. My students have often said they can see I'm motivated and find it refreshing. They are generally more forgiving when they know I'm trying.
• Relate material being taught to what students have learned before and will learn/use later. Anecdotes based on your real-world experience (if you have it) are useful. My students always ask me for more of that in my evaluations.
• Apply the "repeat without repeating" pedagogical pattern (Google fails me on finding a reference). Basically, it means that different learner styles (are more likely in large groups) respond to different examples, so it's helpful to repeat the same concept in multiple examples.

EDIT I recently bought this book and found it very useful because it covers many dimensions of teaching that might not seem obvious to first-time teachers. It's in a kind of check-list style, with references to external sources if you want gory details on certain techniques: Davis, Barbara Gross. Tools for Teaching. 2nd ed. Jossey-Bass, 2009.