Take all the courses they offer, or at least as many of them as you can fit in. Don't take just the bare minimum of courses needed for the major (A lot of students here try to get by with that.) If there's something you want to study but there isn't a course for it, see if you can arrange an independent study course for it. Small schools tend to be more flexible about this sort of thing than large ones.
Take advantage of whatever research opportunities you have, even if they're not in the field that you'd like to do in grad school. They'll still give you experience in the research process in general, and they're a great way to develop relationships with professors which lead to good, insightful letters of recommendation.
For research areas that your school doesn't cover, look for summer REUs at other schools. That's one of the main objectives of the REU program in the first place: provide wider opportunities for students from smaller schools.