If you’re a beginner the answer is easy: have lessons with a teacher or do a structured course that walks you through all the fundamentals. Simple.
But what if you’re an intermediate harmonica player - what do you do when you have the fundamentals down? Not so simple.
Here’s what I recommend for both different levels:
1. BEGINNER LEVEL
My Beginner to Boss course was specifically designed to answer the whole “ what should I practice? ” question, for beginners (clue’s in the title 
).
Play-along every day you’re available
Each lesson builds upon the next - challenging, but not demoralizing
Bite sized bits move the player from novice toward mastery.
When people finish Beginner to Boss and ask me what to do next, I tell them, “go back to lesson 1 and do the whole course again! ”
Each lesson has LAYERS. A 2nd time through the course not only shows how far you’ve come (and Lord knows we all need some encouragement and affirmation) but it also challenges you with new techniques you likely missed on the first go round.
Many students say that on their 2nd time through the course they got WAY MORE out of it, and some even say they got the most their THIRD time through!
JP’s Breakthrough Blues is another great resource answering the “what to practice” question by providing a playalong course.
2. INTERMEDIATE LEVEL
But what if you’re INTERMEDIATE and you’re READY for that NEXT LEVEL ?
…I’m glad you asked… 
Let me tell you exactly WHEN, WHERE, and WHAT to practice!
WHEN
The harmonica is AWESOME cos you can practice it almost anywhere .
Find 5 minutes here and there , and watch how it does wonders for your playing, thanks to the scientifically proven value of spaced repetition .
Shorter sessions with breaks in between will accelerate growth compared to one longer session. (Three 20 minute sessions are better than one 1 hour session.)
Ideally, choose a time when you feel energized . Morning time might be optimal, especially if you’re in the 60+ age group.
WHERE
If possible, practice where nobody can hear you . The road to mastery requires us to TRY things, and to SOUND TERRIBLE doing it!
We ALL have to sound BAD before we can sound GOOD.
Having to do the mental gymnastics of “oh, so-and-so might be able to hear me, so I should play something that sounds better” sabotages this important natural creative growth process.
I used to drive my car to empty parking lots at night so I could practice in privacy.
To maximize your effectiveness, practice somewhere you can access these tools :
a metronome, or metronome app for developing time
a piano, or piano app for working on bending in tune
a tool to slow down audio - the 2 best I know of are:
Transcribe desktop app
Amazing Slow Downer iPhone app
speakers or headphones for jamming with backing tracks
a tool to record yourself so you can listen and evaluate
WHAT
I’ll tell you WHAT, but first you tell me…WHAT inspires you?
It’s gotta be FUN, and THAT’S #1!
Effective practice requires us to GO SLOW. So choose maybe 1-3 exciting goals to focus on for a few weeks . The balancing act is choosing things that challenge you ENOUGH to make you grow, but not SO challenging that you become frustrated and want to quit!
Having said that, here are the most important areas to practice for intermediates:
Phrasing - The best way to develop your phrasing is by jamming along with backing tracks. You could wisely allocate up to 50% of your practice time on this.
Bending In Tune (especially -2 and -3 bends) - The Bend it Bettertool is great for beginners to see if they’re getting a bend or not, but when it comes to bending in tune, play along with a piano or piano app (to train your EARS, not your eyes.)
Vibrato - The best resources I know to get you going on this vital technique are this free video, this $16 resource, or JP’s Breakthrough Blues
Tongue Blocking (especially splits) - I think modules 5,6, and 7 of Beginner to Boss are the best beginner intro to this subject, and I’m totally unbiased.
Scales / Arpeggios - Best practiced with a metronome. For example, for second position blues:
Blues scale
- -2 -3’ 4 -4’ -4 -5 6
- 6 -5 -4 -4’ 4 -3’ -2 -2” -1 -1’ 1 -1’ -2” -2
Arpeggios
- I chord -2 -3 -4 -5 -4 -3 -2
- IV chord 1 2 3 -3’ 3 2 1
- V chord -1 -2’ -3” 4 -3” -2’ -1
If all of this only whets your appetite on the subject of practice routines, you might consider Carlos Del Junco and Roly Platt’s “The Practice of Practice” resource.