Quote From mstachowsky:
Does anyone else get the feeling that other researchers were somehow trained to "do research" in some formal way that you've just not been exposed to? How do others learn all of this?
They may well have been trained to do research. It depends on your country, but lots of UK universities offer short training courses to PhD students on various aspects of research practice. It's also worth looking at Vitae who also do some courses.
There are plenty of books and website with useful advice. And your fellow students are a valuable resource - ask them how they learnt the art of research. :)