Most important thing about asking questions don't be afraid to say I don't understand it, because it is better to ask questions and look stupid, than to be stupid and worry that if you ask a question you will look stupid.

I agree with monkeygirl. The most important thing is just to ask as soon as you get lost. Your question can be total nonsense 9 times out of 10 this way but still your teacher will get a clear signal and, most likely, will react accordingly.
In general, I do not think that there is any real art in asking questions beyond this simple rule and common sense, so there is nothing to teach here. I have heard many terribly badly asked math. questions but none that I could not handle. What I really cannot handle as a teacher is a question that has not been asked at all. So I advice my students just to go ahead and ask whatever they feel they need to ask and in any form they can.

I think that addresses a different issue -- convincing students to ask questions is different than getting them to ask questions effectively. I agree that getting them to ask questions in the first place is more important (and tips on how to get them to do so are welcome!), but getting them to ask questions well is also extremely important. They won't always have a teacher as perceptive and patient as you are. They might be posting on a random message board, or be asking someone who only has a very small amount of time. Or maybe they're asking someone who sees 20 questions a day and can only respond to 2 or 3. Or they might be asking a question in a situation where there is no opportunity for discussion or asking a follow-up question. Asking a question well in these situations is extremely important. It can be the difference between getting a good answer quickly and not getting an answer at all.

Ah, but in order to ask a question right, you need to be able to pinpoint exactly where your difficulty is, which, related to mathematical problems, means that you basically should have a strategy for a solution with a gap or a few gaps already rather than a raw problem. Of course, if you are talking about communication skills rather than mathematics, there are plenty of common sense rules you can emphasize. From the experience with this forum, the most important ones seem to be

a) Don't assume that everybody is reading the same book as you on the same very page. Post full formulations and explain all the terminology that you have the slightest reason to assume not known to the person you ask.

b) Proofread your posts and double check that what you ask and what you want to ask are the same thing. This includes but is not limited to avoiding any ambiguities and stupid misprints.

c) If you fail to understand the answer, pinpoint the line(s) you have trouble with. Don't just whine "I don't get it, please, tell me more!"

d) Be as concise and clear as the subject and your understanding of it allow.

e) Keep to the point. Don't ask 10 different things at once especially when they are completely unrelated to each other.

g) Make sure your posts do not require special efforts to read (like opening files in fancy formats, using magnification glasses (either real or virtual) to see your pictures, etc).

But all that is purely common sense for any reasonable discussion. The general point is merely to make sure that the other party can easily get the information you want to pass across and to absorb it. And, as with any common sense issue, you just get it by experience. So, the only way to teach it is to run a regular class and, once a question is asked badly, show what's wrong with it and how to ask it better.