4. Balance confidence with equal parts self-loathing.
"I can't decide if you have everything or nothing." Don poses this quandary to Midge in the first season of the show, but we can easily see it as being reflective of the self-interrogation Don performs each season. Don has had many things worthy of appreciation—a beautiful wife, a sprawling house in suburbs, a thriving career—yet remains deeply dissatisfied with himself.
Don may make a living selling nostalgia, but it's also exactly what deters him from moving forward. He doesn't want to go back to being Dick, the farm boy spawned by a prostitute. He longs for the time when he was only one man, not trapped under the weight of two. We see Dick when he is in California with Anna, a looser, lighter incarnation of Don, a person Don can never be again.
We realize that while he enjoys the perks of being Don, he isn't entirely comfortable with who he has become. We see him as a confident decision-maker at Sterling Cooper Draper Pryce, but when he's alone, we see his distress mount as he mulls over what he has become.
What can you learn from this? His arrogance is not offset by others opinions, but by a deeply nagging sense of self-doubt. Be the self-governing man who is ruled by his own appraisals, like Don, and you will emit a smug sense of self-made satisfaction (even if it is just a cover-up for self-made dissatisfaction). This will also help with that "inner torment" thing we mentioned earlier.