Use the pitching wedge when you are 120 yards from the green or less. The pitching wedge will send the ball up high and if struck correctly, it will stop shortly after it hits the green and may even roll back as a result of the backspin on the ball that comes with a good swing. When you are 100 or more yards from the green, take a full swing with your wedge and make sure you finish with your hands high.
Gap and Lob wedge
Use the gap wedge when you are 60 to 80 yards from the hole. A gap wedge has more loft than a pitching wedge and will put more air under the ball and it won't go as far. However, if it is struck well, you should be able to get the ball within 15 feet of the hole consistently.
The lob wedge has 56 to 60 degrees of loft and is for use when the golfer is less than 60 yards from the hole. The pitching wedge and the gap wedge won't give you the same amount of fine tuning that the lob wedge gives you. A ball that has been struck well by a lob wedge will go even higher in the air than the other two wedges and can get you within 12 feet of the hole.
The short game in golf takes a bit of creativity. One of the things a golfer can do is to take his putter when he is 20-to-30 yards from the green and facing an uphill approach shot. In this case, you can keep your wrists stiff and hit the ball with a firm putter stroke. While you may not get as close as you can with a perfectly struck lob wedge, you have a much greater margin of error. Try hitting the ball with your putter when you feel anxious about hitting with your wedge.