Step One
The purpose of the first step is to learn to distinguish between belly breathing and chest breathing.
Lie on your back on a comfortable flat surface. Relax and start following your breath. Put one hand on your belly and the other on your chest. Relax.
Belly breathing : When you inhale, the hand on your belly rises, while the hand on your chest remains still. As you exhale, the hand on your belly goes down again, whereas the hand on your chest remains still. Repeat this for 5-10 breaths.
Chest breathing : When you inhale, the hand on your chest rises, while the hand on your belly remains still. As you exhale, the hand on your chest goes down again, whereas the hand on your belly remains still. Repeat this for 5-10 breaths.
Alternate between belly and chest breathing for 5-10 minutes. Repeat every day. It is vital that you master this step before going on to step 2.

Step Two
Purpose of step two is to combine belly and chest breathing in one breath. This is called Yoga breathing.
Lie on a comfortable flat surface. Relax and follow your breath. Put one hand on your belly and the other on your chest. Relax.
Yoga breathing : Start inhaling with belly breathing. When you feel that you cannot inhale any more this way, go over to chest breathing until the chest part of your lungs are full. Then you exhale using chest breathing first and then belly breathing until you have emptied your lungs completely.
Breathe very slowly. If you feel dizzy, you are breathing too fast. If you feel out of breath, you are breathing too slowly. Follow your body's signals.
If you have problems distinguishing between belly and chest breathing, go back to step one again.

Step Three
Sit or stand with your spine upright.
Use Yoga breathing and follow a set pattern. To do this you need to somehow count the rhythm. Use ordinary counting, or use words instead. The rhythm 4-2-2 works very well for most people. This means that you can count to 4 while inhaling, hold your breath while counting 1 and 2, and exhale on 3 and 4. A 4-4-4-4 rhythm is also recommended and some find it more efficient. It means adding an extra element, namely holding your breath between exhalation and inhalation. Be careful not to hold your breath for too long. Again, listen to your body's needs.
Yoga breathing should be a more or less effortless process, so your breath should not be louder than usual. Most people have problems with starting the exhalation inaudibly. If you experience this too, there is a trick to it - you inhale a little before exhaling. You are supposed to be able to use Pranayam in virtually any situation, so to practice making it an 'invisible' process is definitely worthwhile. That way you can use it, for instance when you walk up to the platform before making a speech or when listening to someone in an argument.