Many non-binary whose gender identity is neither entirely male nor entirely female don’t use he or she pronouns because they don’t feel right. The use of they for a single person may be new to you but honoring the person’s wishes about how they’d like to be referred to is polite and respectful.
If you mess up, it can be appropriate to apologize and keep trying, but making too big a deal of it may embarrass the person and make the situation worse.
For more information on transgender people and the trans movement, check out the National Center for Transgender Equality.