Just a couple of thoughts. First, we call it the “Gift of Faith”, in that the first desire for faith is a gift of God’s grace. However, we also have a role to play in it. We can cooperate with God in trying to seek Him.
One of the things I appreciate about Catholicism is that it isn’t a religion that is solely based on how I “feel” about God. First, it is an objective reality whether I believe it not. It is a faith that is meant to engage all parts of our being human, including our ability to reason, to love, and to endure.
So we thus have several avenues we can pursue in our desire for faith. Regular daily prayer is obvious – and critical. (A daily rosary is a great place to start!) We can and should make frequent use of the sacraments to be able to benefit from their graces, especially Confession and Holy Communion. Since Catholicism also engages the intellect, reading and educating myself on the faith has been fruitful. As I learn from various books and tapes about God and our Church, it has definitely helped my faith. Acts of charity and penance help our pursuit of holiness.
Finally, I would like to point out that the very fact you have a desire and a thirst for Faith is proof that the Holy Spirit is already working within you to help draw you close to Our Lord. Even the Saints have times of spiritual dryness, so bring any doubts or fears to Christ as an offering and ask him to help you with your faith. Seek and ye shall find!