Use ICU for dealing with your data (or a similar library)
In your own data store, make sure everything is stored in the same encoding
Make sure you are always using your unicode library for mundane tasks like string length, capitalization status, etc. Never use standard library builtins like is_alpha unless that is the definition you want.
I can't say it enough: never iterate over the indices of a string if you care about correctness, always use your unicode library for this.
If you look on the left-hand navigation side on MSDN next to that article, you should find a lot of information pertaining to Unicode functions. It is part of a chapter on "Encoding Characters" (http://msdn.microsoft.com/en-us/library/cc194786.aspx)
Although this may not be best practice for everyone, you can write your own C++ UNICODE routines if you want!
I just finished doing it over a weekend. I learned a lot, though I don't guarantee it's 100% bug free, I did a lot of testing and it seems to work correctly.
My code is under the New BSD license and can be found here:
It is called WSUCONV and comes with a sample main() program that converts between UTF-8, UTF-16, and Standard ASCII. If you throw away the main code, you've got a nice library for reading / writing UNICODE.
So the truly best practice for Unicode processing in C++ would be to use the built in facilities for it. That isn't always a possibility with older code bases though, with the standard being so new at present.
EDIT: To clarify, C++11 is Unicode aware in that it now has support for Unicode literals and Unicode strings. However, the standard library has only limited support for Unicode processing and conversion. For your current needs this may be enough. However, if you need to do a large amount of heavy lifting right now then you may still need to use something like ICU for more in-depth processing. There are some proposals currently in the works to include more robust support for text conversion between different encodings. My guess (and hope) is that this will be part of the next technical report.
As has been said above a library is the best bet when using a large system. However some times you do want to handle things your self (maybe because the library would use to many resources like on a micro controller). In this case you want a simple library that you can copy the parts out of for the things you actually need.
Willow Schlanger's example code seems like a good one (see his answer for more details).
I also found another one that has smaller code, but lacks full error checking and only handles UTF-8 but was simpler to take parts out of.
Here's a list of the embedded libraries that seem decent.