I suggest writing down, or reading aloud, the positive suggestions that you want to work on prior to entering the hypnotic state.
In addition, you may keep the written suggestions that you are working on accessible during your session.
Once you are in an alpha trance state, you may safely open your eyes and read your suggestions without fear of coming out of trance.
However, if you quickly reach theta state, you will not be able to do this, and therefore having written or read aloud your suggestions prior to achieving trance will ensure that this input is in your subconscious mind.

1. Go to a comfortable, quiet place and sit in any comfortable chair or couch.
   Do not use your bed or any area that you normally associate with sleep.
   Similarly, you may prefer to stay seated rather than reclining, to avoid drifting into sleep.
   Do not cross your legs or any part of your body, and close your eyes.
   
2. Make sure you are not going to be disturbed for at least half an hour.
   You may want to set an alarm clock or timer for the amount of time that you want to practice self hypnosis.
   This way, if you drift down to a theta brain wave state, you will still awaken at your designated time.
   
3. Close your eyes take a couple of deep, cleansing breaths.
   Hold your breath at the top of the inhale for a second or two, and relax with long, slow exhales.
   
4. Either silently, or out loud, count slowly from five to zero, and then say to yourself "deep sleep.
   " Repeat this as many times as it takes for you to begin to feel the effects of the repetition on your mind.
   When you begin, you might find it difficult not to think.
   You may find that thoughts keep intruding.
   When this happens, don't try to force the thoughts out.
   Observe them impartially, and then release them.
   
5. Release the tension from your body with a progressive relaxation.
   Beginnings with either the top of your head, or with your toes, imagine the tension slowly falling away from each part of your body and vanishing.
   Visualize each part of your body becoming lighter and lighter, or heavier and heavier, as the tension is removed.
   
6. Notice how relaxed your body has become, and wonder to yourself how much more relaxed you can become.
   Imagine you are at the top of a safe, secure flight of 20 stairs.
   Tell yourself that you are going to descend the stairs, counting each step down, starting at 19.
   Tell yourself that each step down the staircase is a step deeper into relaxation, and deeper into hypnosis.
   After each number, you will feel yourself drifting further and further into deep relaxation.
   As you take each step, imagine the feel of the step under your feet.
   Keep counting and stepping down until you reach the bottom.
   Once you reach the bottom imagine that you are happy and relaxed.
   Consider rolling your eyes gently back into your head.
   This can deepen a trance rather well.
   
7. If you are in alpha at this point, you may read, or repeat silently in your mind, the positive suggestions that you want to work on in your session.
   Keep all suggestions positive and in the present tense.
   For more information on how to form suggestions, see my article on creating affirmations.
   Your subconscious mind does not understand negatives in speech - avoid using statements with negative connotation such as "I don't want to be tired and irritable.
   " Instead, say, "I am calm and relaxed.
   " Examples of positive statements "I am strong and slender," "I am successful and positive," and, if you have pain, "My back feels wonderful.
   "
8. Repeat your statement(s) to yourself as many times as you wish.
   
9. When you are satisfied, or have spent the amount of time that you designated to your practice, say to yourself that you will now count upwards from one to five, and when you reach the number five, you will slowly rise back to normal consciousness and remain calm and relaxed.
   Proceed to count upwards, again picturing the numbers in detail.
   
10. Once you have ascended, give yourself a few moments before opening your eyes, and take your time getting up.
    It takes two or three minutes to fully awaken from trance.
    

The first few times that you attempt self hypnosis, you will need extra time to achieve the trance state.
The more conditioned you become to this, with repetition and frequency of practice, the more quickly you will achieve trance, and the deeper you will go, in general.
Note that trance experience can vary day by day, and even someone who generally achieves theta quickly may find that there are times they can get no deeper than alpha.
Some people will not be able to achieve a deeper state than alpha.
Do not be concerned, as the benefits of the practice accrue in either brain wave state.
Helpful tools include soft music, "space" or "trance" music that has a melody but no rhythm is preferable, and a softly ticking clock or a metronome set to 60 beats per minute.
If you find that you still have difficulty achieving trance, consider playing a recording with alpha or theta brain waves during your session.
Your mind will "entrain" to the frequency and help you enter trance.
Once you have associated the self-hypnosis procedure with the trance brain wave state, you will very likely be able to achieve trance without the benefit of the recording.