It can get pretty hectic trying this but on occasion I am so moved by something Celtic I am listening to I grab whatever pennywhistle is in the right key (or its harmonic equivalent) and start playing along. It can be pretty humbling at times but once in a while I get in the groove and I think I have learned something from all this, especially breathing properly and 'bending' notes. I will not yet play PW in public but do take it on backpack trips in the desert (which are always solo) and entertain the coyotes in the evening.
Seems like this could be a good way to learn should the other excellent methods mentioned above not work out.
CB