Large Language Models (LLMs) have shown remarkable performance in various basic natural language tasks, which raises hope for achieving Artificial General Intelligence. For completing the complex task, we still need a program for the task first and then ask LLMs to follow the program to generate the specific solution. We propose using natural language as a new programming language to describe task procedures, making them easily understandable to both humans and LLMs. ~The LLM is capable of directly generating natural language programs, but these programs may still contain factual errors or incomplete steps. Therefore, we further propose the Learning to Program (\text{LP}) method to ask LLMs themselves to learn the natural language program based on the training dataset of the complex task first and then use the learned program to guide the inference. Our experiments on the reasoning tasks of five different reasoning types (8 datasets) demonstrate the effectiveness of our approach. Further, our analysis experiment shows that the learned program can be directly used to guide another LLM to improve its performance, which reveals a new transfer learning paradigm.

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