Watch the Harmonized 3rds online guitar lesson by Allen Hinds from Melodic Improv

Here's an exercise that's easy and doesn't require a lot of theory. Start by making a loop or play to a CD that stays in one tonal center, in this case let's take an E7.

We'll start by finding an E major scale on a single string, which you'll be able to pick out if you have any knowledge of the guitar. Next, try finding the thirds and harmonizing them on the next string. Follow your ear and you'll be able to pick them out. Take your loop and work on staying in key around your tonal center. Once you've worked this out, move on to the next two strings, and the next...