• Drag your direction line tangent to the curve you want to make
• Avoid making the direction line too long (it should be about 30% of the length of the curve you're creating)*
• Get the curves close to their desired shape and adjust them later.*
• Use "undo" if your curve doesn't look right.
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At least this is the suggestion given in the Adobe Illustrator manual. However, it seems that some curves need direction lines much longer than 30% of the total curve length. If it prints out well, don't worry... however, if the curve looks rougher than you'd expect, you may need to adjust the direction line accordingly.
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Or, use the command key as you are drawing a path to switch tools from the pen to the selection pointer. You can then adjust direction lines as you draw, then switch back instantly to the pen tool to continue your drawing.