Are you having a hard time fitting into a new town? Or perhaps you are travelling and would like to convince the locals that you aren't just a tourist?

[edit] Steps

Learn about the area you are travelling/moving to before you leave, that way you will already be familiar with it. This can help with "culture shock".
Take care to learn about what's considered polite and impolite. Also, learn about customs, attitudes, beliefs, and social stigmas. This is essential in foreign countries. Surely, if a country has a social stigma towards showing skin, you wouldn't want to walk around wearing short-shorts and crop tops, would you? Studying local religion(s) can be beneficial too. You don't have to convert, but being knowledgeable is a positive.
When natives talk about how annoying the tourists, outsiders, or whoever "aren't local", agree. Take note of what those qualities are and do not do those things.
Study the fashion styles and trends of the local: clothing, hairstyles, jewelry, etc. Try to incorporate some of these into your everyday style.
Listen to how they talk: accent, usage of slang, context. Try to use these in your speech, but don't overdo it.
Learn about the hot spots: look up what/where the popular restaurants, clubs, and hangouts are. Become familiar with them.
Most importantly, make friends! The more friends you make and the more you hang out with them, the easier the steps above are.
Take a peek at what food the locals are ordering, order that. Peek in their shopping baskets, try some of the same.

[edit] Tips

If you are in a foreign country, it helps to know/learn the language.
If this is a new permanent home, keep in mind that you will adapt to it, there is no rush.
Even if your wardrobe doesn't match the popular style of the local, don't scrap it and spend a ton of money on a new wardrobe. Styles always change. Besides, this will make you look like a tourist.
Again, don't overdo the slang or accent! This will also make you look like a tourist.
When visiting the local hangouts, be aware of yourself and your surroundings. Don't get sucked into dangerous activities or "tourist traps", its really not worth it in the end.
Be aware of weather differences. Weather.com is great for this purpose.
Don't look at everything in awe, it's a total giveaway. Walk like you've lived there your whole life.

[edit] Warnings

Keep in mind that there will always be situations in which you cannot adapt entirely (i.e., an American in Japan).
Don't try to become something you're not. Example: if you are in Spain, don't try to BECOME Spanish. Just try to fit in as best you can, while not losing yourself in the process.