As far as I can tell, most people find it fairly easy to think about others' decisions in consequential terms, but have a lot more trouble thinking about their own that way. So, a good technique to switch to consequential thinking is to imagine that instead of thinking about your own decision, you're thinking about a decision that someone in your exact situation is making. Consider what advice you'd want to give this person, and what choice he or she should make. Disassociating yourself from the decision like this should remove the influence of most things that would normally lead to you making bad decisions.

I'm not entirely sure what would be a good exercise to teach this. One thing that comes to mind is that it might be useful to ask participants to think of to give advice to their selves from five years ago (for example), and then to imagine themselves five years from now giving advice to their current selves.