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One of the main reasons guys "run out" of stuff to say is because they are thinking of stuff to say, rather than taking the interaction on its natural course - getting more physical with the girl.
If you run out of stuff to say, Scotty suggests that you default to this move.
You'll be surprised how quickly you can use this move too.
I've been doing this type of thing for a while - but out of necessity rather than purpose.
Believe it or not, my voice is actually VERY BAD against loud music.
My voice is very deep, which is good in some situations but gets majorly drowned out by loud music, especially hip-hop and bass.
When I was doing the club/party scene thing in Hollywood back in 2009-2010, in order not to get killed by the music, I literally had to get the girl's attention and then immediately walk her to a quiet[er] nearby spot so she could simply hear what I was saying. I had been using the 'grab and drag' technique in clubs long before I even realized how effective it was.
If the girl wasn't available, her friends would come and reclaim her. If she was, I was off to a damn good start.
Girls That Like You
I also want you to consider the girl's perspective here.
If you've made eye contact with a girl, exchanged smiles, went to talk to her and flirted back-and-forth (or she just let you touch her/hold her hand) - she likes you.
You don't need to look for more signs.
When girls "like" you (and are sexually available) - they get into "just go with it" or "lets see where this goes..." mode.
They are willing to/WANT YOU to take the lead and show them a good time.
They are down to submissively follow - if you are down to dominantly lead them.
Sometimes they'll put on the brakes, but that's just a call for more "get to know you time" (foreplay). Or alcohol.
The point is - girls aren't going to resist "Follow me" if they are into you.
Know Where You Are Going to Take Her
It never hurts to know EXACTLY where you are going to lead the girl.
I call this a "gameplan". (sample gameplans within)
I stress the importance of this. Especially for guys that are new at this.
Scotty points out that - although a gameplan is good, a lot of guys use it as an excuse to not take the interaction as far as it could go.
So have a gameplan that involves a PRE-PLANNED place where you can potentially get laid.
Set up the "logistics" in your favor rather than using them as an excuse to bail early.
Get Used to It
While this is a 'pickup technique', it's also a metaphor for masculinity and gender roles.
I suggest getting used to this "Follow Me" dynamic in all situations.
When you are on dates - you should be (literally and figuratively) one step ahead of the girl, leading the way.
I can't tell you how many times I see girls leading guys around the club. Girls are used to doing this.
If the girl says, "lets get a drink" or "lets have a cigarette outside", grab her hand and walk her there like it was your idea.
When I was really making an effort to do this stuff, I was looking over my shoulder at the chicks about 80% of the time, as they followed me.