It took me MONTHS
At first I was doing it the wrong way (Justin Miller's way, a very stupid way of doing the retention pass...) and then I got David Stone's Basic Coin Magic DVD from a friend and I started practicing the retention pass and I sucked at it and didn't understand how it was possible to make it look convincing, then after a while I saw a video in youtube of someone doing a retention vanish but with really bad timing, he covered his fingers for way too much time, and then it clicked- I either try to hide the coin too much or I do it too fast!
And after a few weeks I got a decent retention vanish.

I practice still after 3 years of practicing that move. I do fool myself, but I still feel practice is regularly nesisary. I would say I got it down after... a year? I learned from the world's best, David Roth on a video.