Walk by Faith...

And yet to those who read with knowledge, a great truth is to be found in each. For it is difficult for interpreters to differ so widely as not to touch at some point. Accordingly here, as understanding consists in sight, and is abiding, but faith feeds us as babes, upon milk, in the cradles of temporal things for now we walk by faith, not by sight; as, moreover, unless we walk by faith, we shall not attain to sight, which does not pass away, but abides, our understanding being purified by holding to the truth;—for these reasons one says, "If ye will not believe, ye shall not understand;" but the other, "If ye will not believe, ye shall not abide." - Saint Augustine, On Christian Doctrine
How do we do it? To walk by faith, is to fully live being confident of whats ahead of us; in the belief of the existence of unseen realities; and to actually have an affect on us as if they were seen.
The Christian has a firm conviction of the reality of the glories of heaven; of the fact that the Redeemer is there; of the fact that there is a crown of glory; and he lives and acts as if that were all real, and as if he saw it all. The simple account of faith, and of living by faith is, that we live and act as if these things were true. - Anonymous

To back track a little, what is faith? St Paul defines it in Hebrews 11:1 "Now faith is the subtance of things hoped for, the evidence of things not seen."

Hebrews Chapter 11 continues to show us what Faith has done from the time of Adam to King David. "By faith... By faith.. By faith..." St Paul shows us how the all-stars of the Old Testament did what they had to do, and at times what they didnt want to do, but faith guided them. What does the Epistle of St James say? "For as the body without the spirit is dead, so faith without works is dead" - James 2:26 He is comparing it to actual death! How important than is the concept of faith, and living by it, and walking by it, and doing all things through it?
When you pray, or read, or listen to the Word of God, have faith in it. Believe in the things you are saying, reading, or hearing. Believe that these words can change you and that your prayers will be heard, and that God will accept you. Have faith when you repent and confess, that your sins will be forgiven and that God will accept your repentance. Believe in His words, and He will believe in your faith...
"But without faith it is impossible to please Him, for he who comes to God must believe that He is, and that He is a rewarder of those who diligently seek Him" - Hebrews 11:6