My thoughts on developing skill with proofs.
1) Proofs and formal mathematics are
legalistic. You must learn to
sympathize with the legalistic approach and
appreciate the need for it. When you hear a mathematical claim, you must
want it to be a precise statement. Instead of relying on
intuition to decide if it's true, you must
desire to see a proof of it.
This may involve a big change in your mental life style! The average person is not
sympathetic to a legalistic style of thinking. You have to appreciate the need for it in mathematics and learn the unreliability of intuitive thinking.
Many different mathematical subjects can be used to learn this legalistic outlook. In the USA, it is common for a course in abstract algebra or "linear algebra" to be an introduction to
writing proofs. Another good choice is a course in "point set topology". I don't know how well Courant and Fritz teach doing proofs or whether that is one goal of their text. Perhaps another forum member can suggest books on analysis that take an introductory approach to proof writing.