1. Join them! Particularly on airlines that you are using frequently (such as those that service your home). Then join the special programs they offer that build points as well (credit card programs, long-distance telephone services, etc.). These points can build quickly into free tickets. Try to avoid spreading your points across too many programs if possible.
2. Ticket prices come first. No airline has a right to expect you to pay a hundred dollars more for a ticket just because you belong to their Frequent Flyer program. If their ticket is within $20 you should go ahead and pay to have the extra to build your Frequent Flyer points, but anything more than that and you probably should go with the cheaper fare.
3. Joint Programs.
Many different airlines engage in Code Sharing which means that you can fly Northwest for instance while using (or booking) Delta SkyMiles. When booking an airline reservation, try to stick with those airlines that are Code Share Partners with the airline you do your frequent flying on. To see which major airlines are Code Share Partners, consult the VetTravel.com Codeshare
4. Don't Hold Miles. When you get enough miles to buy 2 Frequent Flyer tickets, go ahead and use them (keep enough for one spare ticket for emergencies). There is not much advantage in holding onto excess miles or points. If an airline goes bankrupt, you don't want a bunch of extra miles sitting in your account. Another airline will probably buy their Frequent Flyer program from the bankrupt airline and honor your miles but that may take months if not years to sort out.
5. Be careful on Upgrades! One of the best uses of Frequent Flyer miles is to upgrade a Coach seat to First or Business Class, particularly on long trips or Redeye flights. Unfortunately most military branches forbid members from flying on an Official Government ticket in First Class. Even if you are permitted to upgrade your seat, the class of ticket that the government buys usually has a restriction that prevents you from using your own Frequent Flyer miles to upgrade it. As to a personal ticket bought for leave travel, that is your affair but again you need to call the airline once you have ordered your ticket to see if they will allow you to upgrade it.
6. Other Benefits: For military members and their families, probably the smartest use of Frequent Flyer points is to use them on rental car and hotel rooms. Since your air fares are going to be cheaper than most normal travelers you should consider spending the points you have on those parts of a trip that don't have deep discounts. Check your airline's Frequent Flyer Program to see what other options are available to you.