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Hold your harmonica correctly. Form a seal with your harmonica and mouth.
You should hold your harmonica nestled in your left hand, with your thumb supporting the bottom of the instrument and your other fingers along the top. The harmonica should be oriented so that the numbers printed on its holes are facing upwards. Take your hand and form an open C-shape with your fingers and thumb. Your harmonica should be positioned deeply into the C-shape, tucked into the area where your thumb joins your hand. You should not pucker your lips as you would for a kiss or play the harmonica with only the outer portion of your lips. The case of the harmonica will need to be in contact with the inner part of your mouth to give you proper control while playing. Your lips should touch the casing and the wood/plastic body should be inside your mouth.  For the best control and quality of tone, you should try to keep your jaw as relaxed as possible while playing. Your jaw should be slightly lowered when playing your harmonica. This will create more space in your mouth and give your playing a richer tone. While getting used to forming a proper mouth seal with your harmonica, it can be difficult holding the instrument in position while keeping your jaw relaxed. Take your time, and practice until this becomes second nature.