Well, everybody says, "play those hard maps" or "get better stuff". I think they are both good, but I think that I can add a bit.
Play multiplayer, with those hard maps.
It's OK to fail in multiplayer, and you can just keep going.
You also discover many songs that you wouldn't otherwise know.
If you don't want to play multiplayer (or you're in a rush to get better):
Are you playing with your sight or your rhythm?
If you can't tell, try going into edit mode, turning an easy song's approach rate to 8 or 9, and then playing it. If you can't play it, then practice clapping to the beat. Sure, if someone happens to stumble upon you while you're doing this to some random Chinese song, then it will make you look weird, but it improves your rhythm.
If you think you're playing with rhythm, turn a normal map's overall difficulty to 8 or 9, and it's approach rate up 1 or 2. If you can play it, you're good with the rhythm. If not, then turn up a couple maps to there and keep playing those.
Also, you might want to make sure you can play with small circles.
Try going to a different easy song, turning the circle size to 6 or 7, and playing it. If you have trouble, then turn it and a couple map's circle size to 4 or 5, and play 1 of those until it gets easy. Then, turn the maps to 6 or 7, and play those. Finally, once you're OK, turn a few normal maps' circle size to 6 or 7, and play those.
Don't worry about the HP drain. There isn't much you can do about it, except get better at playing osu in general (which I hope I can help you do by improving every part).
One more thing: DON'T PLAY EASY (both easy maps and the difficulty changer) WHEN YOU WARM UP! I cannot give an explanation, except that jumping from an easy map to a hard one is, well, insane.