In addition, listen to your body - whether in heart rate, joints, tension points, muscles stress, feeling of dizziness and thirst. For one, this will help you avoid overstressing your muscles and help you avoid injuries. It will also aid you in becoming more vigilant & aware of your surroundings, in improving your performance, in perfecting your reactions and thus making you a better athlete.
While exercising, focus on your breathing techniques as well. This seems the hardest for me so far! Feel your breath move in and out of your body. Pay attention to your nostrils as air passes in and out. Notice the way your abdomen expands and collapses. Focus on the sound of your exhalation and inhalation. When your mind wanders, unconscious breathing will follow your heart beats, leading to shorter and faster inhalations and exhalations - my obstacle :p. Redirect your attention to your breath and expand breathing. This will allow proper flow of oxygen in and carbon dioxide out. This will also help in pumping blood more efficiently throughout your body.
Focus on the here and now of exercising - what your body is doing and how your brain is reacting. With time, mindfulness in your exercise will become effortless. Attend your full range of sensations into what you are doing! Muscles, heart beat, breath, sweat! This will distract you from everyday challenges (which you have plenty of time to go back to!) while alleviating your stress and anxiety.
I'll be looking more into winter exercises now that it snowed all over the place so I'm guessing my upcoming post will be icy!