Becoming a good helmsman is similar to becoming a skilled driver or pilot. In all three cases the best operators follow a routine that lets them continuously check many variables: the outside environment—the road, the airspace around them—the navigation instruments, and other important inputs, such as how much "pull" the machine might have when it goes into a turn.
Since these principles also apply on a boat, it's important to establish a routine that's comfortable for you and then practice it until it becomes second nature. Specific details might vary depending on boat size and the location of the helm, but here's a basic routine.
Start by looking at the compass or the bow of the boat to be sure you're headed where you want to go. Next look around you to see whether another boat is close enough to warrant some sort of evasive action. Then look up at the sails to ensure that all are properly trimmed for the conditions and the course you are steering. If the trim isn't correct, you can make the adjustment yourself or ask a crewmember to do it. As part of your routine, confirm that the sails are not being chafed or damaged.
Next, take a look around the deck to make sure everything is in place. Finally, return your eyes to the compass or bow and start the routine all over again. When you have established a pattern that works for you, your scan will become automatic. When that happens, you'll be a better and more confident sailor.