Apply
Interview
Apply
Interview
Apply
Interview
etc
Really, Hack, put it in a loop, man!

As Hack said, perseverance is the biggest thing. And the other thing is, don't wait for them to come to you. Don't go looking for ads in the paper and on line and don't sign up with agencies. Actually that's not right. You should do those things just in case but be prepared for the fact that it won't work. If you go down those routes you're competing with the world and his brother and your application will dissapear in the morass. Instead you should be picking up the business directory and phoning up every number that's under the "software" section. Or any other section if you think they might have a development section (insurance companies, for example).

You want to speak to the person who might hire a programmer, typically the development manager but they go under a variety of titles. You do NOT want to speak to HR and your initial obstacle will be the receptionist. Develop strategies for getting to the right person. I used to phone up and speak to the receptionist. I'd flat out ask, "I'm a programmer looking for work, who's the person who would make a decision like that". The receptionist would inevitable field my call and there was no chance they'd let me speak to them but they usually would give me an email address to send my CV to... and in most organisations a persons email address is their name. Send in your CV and phone back a week later asking for the person you want by name, this time the receptionist will probably put you through because they'll assume you had a prior reason for calling.

Once you're speaking to the right person you'll be amazed how positive they are. Even if they don't have a job to offer you they'll usually be encouraging and they're usually impressed by the fact that you had the gumption to actually go looking for a position rather than waiting for one to turn up. I had positions created especially for me twice using this aproach because thought I was the "kind of go-getter we want in our team" (little did they know). Just be prepared for the fact that you might be made redundant 6 months later when they realise they didn't actually have any work for you to do after all, but by then it won't matter because you're CV will be saying "this guys an experienced programmer" and the doors will be opening all around you.

Most of all, remember it's a numbers game. You're going to have to trawl through a bunch of one-man-bands and big companies who will chuck you straight to HR (which is a black hole) but I reckon any time you're speaking to the genuine decision maker you've got a 2 to 5 % chance of ultimately getting hired. That means you'll have to reach them 20 to 50 times before you actually land a role but you can achieve that within a few weeks if you're willing to put the effort in.

Good Luck