The first rule of trying to break into the industry is learning how to accept "the letter". I refer to the letter or e-mail that will arrive numerous times that looks a little like this:
Dear [your name]
We are sorry that [insert the job they cannot offer you, their reason and usually a line like "the standard of candidates was very high" or "we received a great number of applications"].
[Insert name of employer]
This letter will become what feels like a daily occurance. The only way to take it is with a smile, good grace and a response to thank them for considering you. I do this as a rule, and today I have received an e-mail back stating that they will be keeping me on file for future projects.
The general rule of the industry is to be polite to everyone, as you never know who the next "big thing" will be and who will be recruiting for a project in the near future.