I review my day in mind or write in a journal. When journaling I start each entry with the phrase "I feel..." Then I write whatever comes to mind. Another thing is to notice what I'm doing because my actions are often in response to a feeling. For example, I do a lot of addictive behaviors when I'm afraid (eat, get tired all of a sudden and lay down, surf the Internet, etc.) I also get clumsy and forgetful when I'm anxious or stressed. If I'm constantly losing things, that's a sign that I'm overwhelmed and stressed.
I don't automatically notice my feelings. I really have to make an effort to know what I'm feeling.