I recommend trying to sing the first note, then try and find that note on the harmonica. Then try to sing the first two notes, and then play the first two notes on the harmonica. Rinse and repeat…
Personally, I have found singing the numbers of the major scale, and then figuring out the numbers of simple children’s songs to be really helpful in the process of ear training.
Twinkle Twinkle 1 1 5 5 6 6 5 4 4 3 3 2 2 1
Mary Had a Lil Lamb 3 2 1 2 3 3 3 2 2 2 3 5 5
Of course, if you’re really just wanting to learn a specific song, and not so interested in these processes, just let us know the song, and maybe we can help!