Becoming proficient at the short game is the key to scoring well in golf. Chip shots, bunker shots, putting, and learning to pitch can take 10 to 15 shots off of your average score. You may be pitching the ball to the green on 15 of the 18 holes. If you can get the ball on target, your next priority is to make the ball stop as quickly as possible in order to set up par and birdie possibilities.
Take your pitching wedge when you are 80 to 100 yards from the green. If your view of the flag stick and the green is not obstructed, play the ball in the middle of your stance. Take a full swing. Do not try to kill the ball, but don't baby it, either. To get the ball to stop, make sure you keep your head down and you finish with a high follow through. Don't stop your swing. You must complete it to get the ball to stop.
Pull your gap wedge out of your bag when you are 65 to 80 yards from the green. The gap wedge has greater loft than a pitching wedge, and a good back swing with a full follow through should get the ball to stop within 8 feet of where it lands on the green.
Try the lob wedge when you are 60 yards or less from the green. This club takes quite a bit of practice to get used to because it has such a steep loft--as high as 60 degrees--but it will stop the ball almost instantly when it lands. You won't get much distance, but you must hit the ball squarely and follow through.
Use your sand wedge when you are near the green. The sand wedge has significant loft, and that's why it's effective in the bunker. However, a lot of golfers like to use their sand wedges from the fringe or the rough because it will stop the ball under difficult circumstances.
Bring all your wedges to the driving range and practice. The key to the stroke is the finish and the follow through. Keep your head down throughout your swing. Don't stop your finish until your club is at shoulder level.
Tips & Warnings
Take a golf tee, and clean out the grooves on all your wedges. The grooves provide the backspin, and they need to be pristine in order to get the desired stopping effect.