Beginning a question with "Say,"?

Since English is not my native language, I have a hard time understanding some expressions I hear in movies. From what I gather, it's possible to start a question with "say", such as "Say, do you know any good restaurants around here?"

What is the proper usage for this structure? Do people frequently use it in conversation? Is it a rude thing to say?

It's not rude. "Say" is a discourse marker used to open a conversation or a new topic with no other introduction or preamble.

For example, you and I might be talking about the weather and I might suddenly realize I'm hungry. "Say, do you know a good restaurant around here?" I might ask, using say as a way to break off one topic and introduce another.

Or you might go up to someone on the street and ask them, "Say, can you tell me what time it is?"

In each case the word functions to facilitate what may otherwise seem to be too abrupt or confusing a transition. It functions in the same way "Hey" would, but is a degree more polite and formal.