Look at sketches you've written and try to rewrite them as short films. See which ones would be better as films, and turn them into screenplays, reexamining all your choices — the setting, the characters, the background action, etc. With modern editing equipment, you can experiment with making short films quickly and inexpensively.
If you don't think you can make a film on the cheap, read and get inspiration from director Robert Rodriguez's 1995 book Rebel without a Crew: Or How a 23-Year-Old Filmmaker with $7,000 Became a Hollywood Player. It's Rodriguez's diary of the making of the low budget but critically acclaimed film El Mariachi.
Turning your sketches into short films and getting positive feedback will help you build the confidence to tackle larger projects. It will also help you acquire material for your reel — a visual resume with samples of your work.