Most design students are able to develop a portfolio of projects they worked on while they are in school.
Since I'm guessing you aren't a design student, I suggest that you take a course on UX/Interaction Design or Human Computer Interaction (HCI) - especially one that requires you to develop an interactive project and/or create a prototype.
This way, you can benefit from learning more about the UX design process AND have something to show for it at the end. Completing courses is also a sure way to signal your passion and knowledge for a subject.
Perhaps your school offers courses in this area? If not, there are lots of educational opportunities online. I took a great (and FREE!) Stanford U HCI course through http://Coursera.org.
Also, have you taken any courses which required you to do presentations?
I ask because being able to effectively present work and ideas is crucial to the success of a UX person. Not just in a visual design sense, but also how the narrative of a presentation is conveyed to maximize audience impact and comprehension.
So perhaps you can think about whether some of the work you have already done for school could become a portfolio piece in which you describe the research and storytelling process.
Remember, for a UX portfolio, it's not just about showing the results of a finished product - it's also about describing the process too.