Nose - Keep it Closed
Your nose (nasal cavity, controlled by the raising [closed] and lowering [open] of the soft palate) should be closed while playing the harmonica. If you find yourself running out of breath quickly while playing the harmonica, an open nose may be the issue.
Let's test your nose.
Take a deep breath and then play a blow note on the harmonica softly... you should be able to hold that note for 30 seconds. Do the same with a draw note for 30 seconds. If you can only sustain a note for 5 to 10 seconds, your nose is most likely open (or you are WAY out of shape ;-). If the amount of time that you can hold a note differs greatly between your blow and draw, then the one you can't hold as long is when your nose is opening (usually the draw note for most people).
Try this exercise on holes 1 and 2 as well, they can reveal some issues (and yes, our body treats each hole of the harmonica a little bit differently).
Give this a try today and we'll discus this some more tomorrow.