Actors are better at lying convincingly than non-actors. This is because actors have more experience improvising. For the same reason, practicing your lie will make it more effective. If you have already practiced your story, then when it comes time to lie, you don't have to worry about what you're going to say. Instead, you can dedicate more brainpower to maintaining your baseline behavior instead of to thinking up an excuse. Just think of the proverbial used car salesman. He uses the same routine on every schmuck (e.g., he's losing money on the deal; he has to talk to his boss; he might get fired for giving a car away so cheap, etc.). He's practiced so much that he could tell his story in his sleep.

Practice also allows us to distance ourselves psychologically from our lies. We let our brain go on autopilot, and we actually forget that we're telling a lie. Purposely lying is VERY tough on the brain. Anything that makes the brain's job less stressful causes less mental anguish, and practice sure gives the brain less to worry about.

Lastly, practice gives one confidence, and confidence is a good indicator of if someone is telling the truth. If a person suddenly seems less confident in what they are saying (possibly because they are trying to skirt around the truth), you get suspicious.