Day 19 Sutras 2:50 The modification of the life-breath are either external, internal or stationary. They are to be regulated by space, time and number and are either long or short.
Prana is very powerful energy and the body needs to be prepared for this using asana. Patanjali says that there are three types of regulated breathing: inhaling, exhaling and breath retention.
During pranayama your attention is placed on a particular space e.g chest cavity/lungs. The breath can be lengthened or shortened and retained for a specific time. In many pranayama exercises there are a number of counts for inhaling, exhaling and breath retention.
For safety pranayama is taught in stages. First you must become aware of the breath. The Journey into the breath audio from Day 3 is a helpful guide for breath awareness.
https://soundcloud.com/user-121392179/journey-into-the-breath-mp3-audio-by-rosaleen-bloomfield
Then you can move from normal breathing to Ujjayi (victorious breath) breathing working on the exhalation first, then the inhalation, then both lying in a supine position before doing seated pranayama. All this is best done under the guidance of a skilled teacher.
Asana and pranayama master, Aadil Palkhivala says:
“It is indispensable to have a solid asana practice in conjunction with the practice of pranayama. Only when the student can easily come up in Urdhva Dhanurasana [full wheel] is the spine strong enough for a seated pranayama practice.”
Pranayama deals directly with the nervous system and so it is essential that there is no forcing whatsoever at any time in order not to damage the nervous system.
Regulated breathing exercises should always be followed by relaxation (5-15 minutes) and this stage should not be left out.
Why would you want to do pranayama? Because it strengthens the nerves and brain. Pranayama also regulates and calms the mind. Breath and mind go together. As stated When one is controlled, the other is automatically controlled as well.