Have goals and pursue them

Identify things that your PC wants—a steading improvement, an NPC's hand in marriage, the respect of the elders, maybe just a roof that doesn't leak—and actively work towards those things in play. Don't just react to the threats that the GM presents. Having goals and striving towards them is a great way to portray a compelling character, and it pretty much requires you to engage with the fictional world.

But also: have goals as a player. Share these goals with the GM and the other players. Have meta-game conversations about scenes that you want to have and conflicts you want to play towards. Just as important, be clear about what's not important to you, what you'd be happy glossing over. Your play time is limited, so be clear about what you want to see in the game. The End of Session move End of Session gives you a formal chance to do this, but you can always step out of character and talk to each other, player-to-player.

To be clear: having goals and pursuing them doesn't mean "always getting what you want." It means having things that you work towards, things that will drive scenes and adventures. Whether you achieve your goals is up to the actions you take and the moves you trigger and the dice you roll, and how the fiction logically and plausibly reacts. Play to find out what happens.