It's a bit weird for anybody who's won a “breakthrough” award, or been told they've “broken through”, because you think: “Hang on, I've been going at this a while.” Breaking through has nothing to do with the moment you feel you might have broken through anything; it's down to the judgment of others.

I originally wanted to be a football player. At about 14 I joined a local youth theatre where the older children were doing two productions - The Crucible and A Midsummer Night's Dream. It was transforming, my world opened up, it gave me feelings I'd never felt before. Arthur Miller's writing in The Crucible was an especially powerful experience. With Miller there's no clear-cut good or bad guy. The moral boundaries are blurred. In that sense they reflect the characters I've enjoyed playing. They're human, rounded, so seeing The Crucible was a real breakthrough moment for me.

I went to drama school, where you cross a series of boundaries, and I had to leave a bit early when I got a role in When She Danced, a West End play. That was a big break. One day I was at RADA doing a movement class, the next I was at a read-through with Vanessa Redgrave and Frances de la Tour. There was no room for failure. At drama school you're encouraged to take risks, try different things and occasionally make mistakes. Suddenly I just had to get it right. It was exhilarating. I was very nervous. We spent a lot of time rehearsing in Brighton and I recall a lot of fraught walks along the seafront thinking, “What's going to happen?” I relaxed into it but would occasionally get nervous about doing the play for the next six months. Until then the longest run of anything at RADA had been 11 performances and in the West End you did that many in preview.

Another big learning experience was working with Declan Donnellan of the Cheek by Jowl company, so much so that I still use the advice and guidance he gave me in every part. One of the things he helped me to realise is the importance of balancing an actor's fear of appearing to be out of control when performing with the need not to look as if you're too in control. You don't want to feel exposed or selfconscious, and he was great at showing me how you carry out that act of display, which is ironic as actors are all supposed to be show-offs anyway.

My relationship with the director Stephen Frears (whom I worked with on Mary Reilly, The Deal and The Queen) has also been important. He taught me to bed down in a role, not to read this or that about it, but to feel my way into it, to swim around in it a bit.

Peter Morgan (the screenwriter of The Queen and the forthcoming The Damned United) and I have worked on real-life roles such as Tony Blair and Brian Clough, for which I do lots of character research. I feel very connected to the people, a sense of responsibility towards them. I really feel that any script shouldn't misrepresent them. If something feels at odds, or not right, I'll tell Peter. He's very collaborative and responsive. David Frost said recently that, in Frost/Nixon, I was playing a part “based” on him. He's right. I play a cross between the real person, my interpretation of them and Peter Morgan's interpretation of them. Things change all the time, and Peter brings his laptop on set. The line between the real person and me as that person is very blurred.

As an actor you always have doubts. It's a peculiar profession. It requires an incredibly thin skin, which you need to become whoever it is you are in whatever role. But you also need an incredibly thick skin, as actors know they are going to be criticised, judged and evaluated. That's why, perhaps, actors are supposed to have such extreme personalities: they have to be sensitive to work properly and also sensitive to how that work is perceived. You go through such highs and lows. Yes, I've had moments where I've had some criticism and thought: “That's it, I'll never act again.” But at the end of the day it's what I love doing.

I may be misquoting him, but apparently Paul Newman once said something about not believing in luck, but that the harder or better he worked the luckier he got. Opportunities come when you are feeling fulfilled and working hard. Problems come when you take on a job because you think it will do something for your career. If you do that rather than connect to a role, you're going down the wrong path. Do the parts you really want to do. Everything else will take care of itself.

The most insidious thing an actor can do, no matter how tempting it may seem, is to compare himself with another actor. It never leads to anything healthy. Sure there is an element of competitiveness to the acting business; there are so many awards and prizes now. But competitions and creativity rarely get along. I've found myself in things that have awards interest and you can't shy away from it. But don't get wrapped up in it. Forge your own path and be the best you can.

The South Bank Show Awards will be held on Jan 20. Frost/Nixon is out on Jan 23

As told to Tim Teeman