So why did I use quotation marks around "calling CQ" above? Look at the example QSOs below. The running station is in red, the search and pounce stations are in blue:
G3GXE 59 Nebraska
PY5ASN 59 Nebraska
This is actually two complete QSOs in their most efficient form! There are more verbose variations to this format, especially when QSO rates are low, but these "bare bones" exchanges definitely need explaining. Here's what is really happening:
KTØK Simply by stating his callsign, KTØK confirms and ends the previous QSO, and signifies that he is ready for another call...essentially he is calling CQ. If QSO rates are low, you will hear stations actually calling CQ. If QSO rates are high, you may not hear a real CQ...remember, listen for the rhythm.
G3GXE G3GXE calls KTØK. He does not need to say "KTØK this is G3GXE." Since he is calling on KTØK's run frequency and his call is timed after KTØK has completely finished his previous QSO, his intent is clear.
G3GXE 59 Nebraska KTØK acknowledges G3GXE's call and sends the exchange required by the contest (signal report and state in this case.)
59 358 G3GXE sends his exchange as required, in this case signal report and QSO number.
KTØK KT0K states his call sign again, which confirms receipt, ends the QSO, and announces that he is ready for another call. The same sequence then repeats with PY5ASN.
Note that no one said "QSL" or "Roger" or "I copied your..." or anything similar. If someone did NOT copy something, they would say so and ask for a repeat! Remember, each extra word in each QSO is multiplied by the number of QSOs you make during the contest! Your voice doesn't need unnecessary "multipliers" like that! If you really feel the need to confirm that you received the other station's exchange, a simple "thanks" (voice) or "tu" (CW) before you move on serves the purpose well, and injects a little pleasantness into the QSO.
That's about all you really need to know to make your first contest contact. Be sure to check the contest's published rules before jumping into the fray, and always listen, listen, listen. It's the best way to learn!