Good question, and good answers.
I'll add this:
If you want to break into DXing, especially on 40 (but really on any of the HF bands except 12-17-30m), try contesting!
Because the contest exchanges (which vary) are very brief, you may surprise yourself to find that you can copy them at 30-35wpm. It sounds like gibberish, perhaps, at first, but you really only have to copy the other station's callsign and very few characters beyond that -- and, bingo! -- you've worked DX. Not exactly a leisurely ragchew, but unless you have a great signal abroad, you're not in for many leisurely ragchews with DX stations.
The use of contest logging software and utilities, and a keying interface for your rig, are ultimate weapons in succeeding with the DX during a contest. They will be immediately helpful, and you'll see how. I prefer WriteLog for Windows (the most powerful, user-friendly contest logging/operating program), which can have updated "frequently heard/worked DX contest callsigns" downloaded during its license period (and continually updated for renewal fees) that make it MUCH easier to get a DX station's callsign correct, using the feature called Super Check Partial. This feature enables your computer to look up a "probable" DX callsign, if you only have partially copied it, and is a very powerful utility. The interface to your radio can be Rig Blaster or any number of hardware interfaces, none of which are expensive.
Best contests for working DX on 40m CW are CQ WW CW, ARRL DX CW, and CQ WPX CW, although there are many "smaller" contests that are fun as well. You do NOT need to be a "big gun" to have a ball in contests, especially on CW, where the big guns have great antennas, great receivers and wonderful operators more than capable of pulling a weak signal out of the noise and QRM just fine. In the heat of a DX CW contest, I've often worked the other side of the world with 5W.
It can be so enjoyable, and there's so much "instant gratification" in being able to make 50-100 DX contacts in a very short time, that your CW skills will just naturally improve without your thinking about it.
The DX CW activity on 40 is anywhere from 7000 to 7070 kHz or so, sometimes even a bit higher during crowded conditions (which are the norm in contests). Working DX on 40m phone (SSB) is mostly "split" operations, requiring dual VFOs and some additional skills, but on CW it's 99+% "simplex," with contacts made on a single frequency for TX/RX. The contests are all during the late fall, winter and early spring, to take advantage of the best propagation. Don't expect to work much DX on 40 during the summer!
Have fun and happy contesting!
73 de Steve WB2WIK/6