In order to practice Pranayama fully and effectively, the learner must strictly follow the following things:  

Place  

The place for performing Pranayama must be isolated and airy with ample ventilation.
Time

The time of dawn is considered as best for practicing Pranayama. If for any reason it is not possible to practice it in the morning, Pranayama can be practiced in the evening as well.
Posture

Mostly the Pranayama is practical in Padmasana, Siddhasana or Vajrasana. If you face difficulty in sitting in these postures for too long, you can select any posture you desire in which you can sit for long time comfortably.

Instructions

Before you sit for Pranayama practice, thoroughly clean the nostrils well. 

Practice Pranayama only after purifying your veins. To purify the veins, first practice  the Asanas.

Do not take bath immediately after Pranayama. You can take bath after half an hour of Pranayama, though it is better to practice Pranayama after a bath, instead of taking bath after it.

Stop the practice when you are ailing seriously. Some people twist the muscles of the face when they do Kumbhaka.

Practice inhalation, exhalation and retention of breath in such a way that at no point during the practice you feel suffocation or uneasiness.

The general order of doing Kriyas is: First do all Asanas, then Mudras, then Pranayama and then Dhyana.

Do not continue the Pranayama when you are fatigued.

Always inhale and exhale very slowly. Do not make any sound. In Pranayamas like Bhastrika, Kapalabhati, Sitali and Sitkari, you can produce a little mild or the lowest possible sound.

Suryabheda and Ujjayi produce heat. Sitkari and Sitali are cooling. Bhastrika preserves normal temperature. Suryabheda destroys excess of wind; Ujjayi

phlegm; Sitkari and Sitali bile; and Bhastrika all the three.

Suryabheda and Ujjayi must be practised during winter. Sitkari and Sitali must be practised in summer. Bhastrika can be practised in all seasons.

Those persons whose bodies are hot even in winter can practise Sitali and Sitkari during winter season.

Don’t be discouraged by some initial mistakes, and don’t drop the practice in panic.  

You will learn slowly.

Essential of  Pranayama

KINDS OF PRANAYAMA
Pranayama is Practice only after purifying Nadis

Nadi Shodhan Pranayama

KapalBhati (Glowing of Skull)
 Among the many kinds of Pranayama. i.e. Kumbhaka, eight kinds are considered as main. These are

Surya Bhedan Pranayama,

Ujjayi Pranayama,

Sitkari Pranayama,

Shitali Pranayama,

Bhastrika Pranayama,

Bhramani Pranayama,
Murchha Pranayama and

Plavini Pranayama

Also read from Kundalini Yoga-SRI SWAMI SIVANANDA