It is the hottest job market in decades, but that doesn’t mean playing it to your advantage is easy or obvious.

After more than eight years of U.S. job growth—the longest streak on record—employers across a swath of industries from health care to manufacturing have more positions than they can fill. The demand is a big reason the share of workers voluntarily quitting their jobs hit a 17-year high in 2018, said Jed Kolko, chief economist at job site Indeed, who adds that many of the biggest wage gains have gone to those who...