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It's important to start by building strength and developing good intonation. In example 1, you will first play the open string and then the note you wish to bend to. Listen closely to the two pitches. Then, play the open string and using one or two fingers push the string down towards the headstock until you've reached the desired pitch. Increase the interval each time, and make sure you try this on every string. Some bend easier than others--you may only get a half step bend on the higher strings.
Example 1 - Download Example Audio
Now, let's try to hit the half steps in between the bends. I can't stress enough the importance of fretting the pitches first and listening before trying the bend. Practice on every string.
Example 2 - Download Example Audio
Here are some cool licks to give you some idea how to apply this technique. Example 3 is a pedal steel lick in A. Start off by holding down an Aadd2 chord in open position. Use your third and fourth fingers to fret the chord so that your first finger is free to do the bend.
Example 3 - Download Example Audio
Next is a turnaround in F major. Grab the chords with your fingers and avoid strumming. This will produce a more pedal steel-ish sound. When you get to the F chord, use your third and fourth fingers to fret the notes at the first fret. Again, this will free up your first finger.
Example 4 - Download Example Audio
This a bluesy lick in D major or minor. Press the G and B strings down with your first and second fingers. The G string bends up a whole step while the B string only bends up a half. This takes practice but if you isolate the bend and keep checking it against the fretted notes it will sound great.
Example 5 - Download Example Audio
Last we have a bend in C major. Place your pinky on the first fret of the B string and use your first finger to bend the open D string.
Example 6 - Download Example Audio
I hope this lesson has been inspiring. Remember, it takes time to build up the strength and accuracy so be patient. Try adapting any first position licks you normally would fret to behind the nut bends. Also, using a volume pedal with any of these licks would really bring out their pedal steel characteristics.