Travel Inside the Mouth - Point 1
At 0:44 Dr Bahnson speaks about the soft palate being pushed back against the pharynx. This is what closes off the nasal tract so that all inspired and expired air travels through the harmonica. If you find yourself gasping for air after playing a short passage... your nasal tract is open. To get a feeling for when it's closed... yawn. Speaking while yawning you'll hear the result of closing off the additional resonating chamber of the nose... a whiny tone... the oral cavity AND nasal cavity are open normally during speech. This is what we're looking for when playing the harmonica (not the whiny tone, that no air travels through the nose :-).
In addition, it's desirable to learn how to control the opening and closing of the nose at will to allow you to exhale or inhale air through the nose WHILE playing so that you can keep your breath balanced... an important skill set for all players as they advance.
Video Referenced
http://www.youtube.com/watch?v=gTEXSb6duVs&feature=player_embedded
More Information
Page: http://www.bluesharmonica.com/faq
Video: "I run out of breath so easily!"