If you want to improve your WordPress Search Engine Friendly URLs, you have to change just a little setting in your WordPress configuration.

Go to your administration panel and choose "settings" and got to the option "Permalinks".
There you have several options under Custom Permalink settings, the best one in my experience is to use Custom with /%postname%/ as the field content.
That way you will have the title of your post as you URL.
For example your get /your-best-wordpress-tip/ instead of /p=123

Make sure you have a .htaccess file with the content that shows up under this permalink configuration panel.
It the file is writable WordPress will apply the new setting by itself, otherwise you have to change it.

If you are on a Windows platform for you hosting, or don't have access to your .htaccess file due to Hosing provider restrictions you need to change the custom URL field to contain /index.php/%postname%/
That way you get /index.php/your-best-wordpress-tip/ as you new URL.

WordPress SEO Slugs

If you want to further improve your URLs, you should eliminate all stop- and none-topic words from the URL, which in WordPress terms is called Slug.

You could do this manually, or install the WordPress Plugin SEO Slugs this Plugin will improve your slugs automatically by removing words like "the,one,other,can,do,for" and many other short words.
Your URL will then change from /what-you-can-do-immediately-for-higher-rankings to /immediately-higher-rankings ,creating a much nicer and shorter URL but still containing your keywords.

WordPress Redirection

If you are worried about the rankings of your already indexed pages in Google and other search engines, don't be... WordPress itself does a pretty good job directing the old URLs to the new ones.
Still if you want more control over this process, or even need to redirect some old SEF links to new ones you can use the WordPress Redirection Plugin.

This Plugin gives you more information on 404 errors, logs and redirection then you will probably need if you start improving your WordPress SEF and SEO URLs.
But it is a must have in my book, so make sure to keep your old rankings and improve them by using the Plugins and configuration mentioned in this post.