When I lived, and taught, in the UK, I used to ask London Information (on the relevant FIS frequency) to check with the guys in D&D if they had the time and inclination to do a practice PAN, rather than go in 'cold' and hope nothing was already happening.
Often used to pre-arrange (on the R/T) with a local airfield for some sort of approach, ILS, Surveillance radar - whatever, before doing the practice PAN - and then get D&D to guide me to a handover to that airfield.
Was great training practice for the students and most certainly did get them through the nerves problem that Barnaby suggests.
A colleague instructor of mine used to tell "little white lies" to D&D - if he was North of Manchester (for example) he would say he was South - then get them to find him and guide him into BAe Warton for an SRA.
Excellent training.
Have heard a few growls from airline guys though - who are required to monitor 121.5 in their big silver birds (as we all are in our little silver birds). They have reported finding the practice PAN chatter on 121.5 as distracting.