While deep reinforcement learning (RL) methods have achieved unprecedented successes in a range of challenging problems, their applicability has been mainly limited to simulation or game domains due to the high sample complexity of the trial-and-error learning process. However, real-world robotic applications often need a data-efficient learning process with safety-critical constraints. In this paper, we consider the challenging problem of learning unmanned aerial vehicle (UAV) control for tracking a moving target. To acquire a strategy that combines perception and control, we represent the policy by a convolutional neural network. We develop a hierarchical approach that combines a model-free policy gradient method with a conventional feedback proportional-integral-derivative (PID) controller to enable stable learning without catastrophic failure. The neural network is trained by a combination of supervised learning from raw images and reinforcement learning from games of self-play. We show that the proposed approach can learn a target following policy in a simulator efficiently and the learned behavior can be successfully transferred to the DJI quadrotor platform for real-world UAV control.