How do you teach your cockatiel to say new words?

Repetition. Repeat, repeat, repeat. For example, if you want your bird to say hello to you every time you walk in the room, every time you walk in, say loudly and clearly, "Hello." And when you walk out say, "Goodbye." If you hear him attempt to reply (even if it sounds nothing like the Word), give him a treat. Eventually, he will learn to talk. :) It may take a long time though.