It is one thing to boast in our knowing God but, according to Jesus, the bigger question is whether or not He knows us (see Matthew 7:20-23).
I can think of three ways we can build our relationship with God:
1) Time with Him in prayer, worship, and the study of His Word; both alone and with the church.
2) Trials, though none of us like going through them, provide one of the greatest opportunities for experiencing God. Rarely do we cling to Him more than when going through trials.