The reason it takes experience is because its learned. You can learn by doing it yourself, watching others do it (in person or on TV/movies), or by reading about it (probably rare).
Basically you need to build up a list of comebacks you can use. Think "yo' momma". Its a lame one, but it comes back to everything. Once you have that mental library of comebacks you can rattle them off as comebacks when you learn when to use them.
Once you have enough experience with that you'll learn to come up with stuff on the spot. That's when you've become a Jedi Master.
Also, a quick tip, if you think you heard your name, assume you didn't. If they called it once they'll call it again, or better yet they'll come over and tap you on the shoulder. If no one called it then you'll just look crazy. Just kidding
