One small thing you can do, is choose not to bank with those that invest in fossil fuels.
I can't find it, but I read an opinion piece a while ago that looked at the different actions people could take wrt to investments and banking. It' an interesting read because it highlighted some strange things that most people might not have thought about.
For example; if you choose not to bank with those that invest in fossil fuels, that might have a slight impact (if enough people join) on their ability to finance fossil fuels. Now there are a number of problems with this approach. Firstly by you moving your money around, all you are doing is displacing investment in the financial market. That is you might move your money to a ethical bank that does ethical investments only. If you think about it, all you have done is increase aggregate demand for ethical investments and hence puts pressure on their price (up) and yields (down). The opposite happens to fossil fuels, their aggregate demand (for the company, not the fuel) decreases and thus either price goes down and/or yields go up.
The same thing is true for moving your super into ethical investment funds but even worse. All trading stock does is simply move money from one investor to another. The company doesn't actually experience real change except maybe a larger market cap due to increased popularity. But in the end the yields still win out. The only real impact is it might persuade more companies to change their operations to a more ethical one - however for fossil fuels there is no real way to do this.