That is precisely what should happen at any level above beginner.

Here's a bit more info from the Breathing section-
http://www.harmonicalessons.com/members/breathng3.php

"Snorting" to get air out of your lungs- If you consistently find yourself with too much air in your lungs, as most people that primarily play 2nd position do, you can develop the technique of "snorting" whenever you get a chance to play a blow note.

"Snorting" from your stomach- Keep your "valve" (nose) in a closed mode whenever you are playing draw notes. When you come to a blow note you can "snort" some of the excess air out of your lungs very quickly by pulling your stomach in rapidly and allowing the air to go out your nose as well as out the harmonica. Then close the "valve" for the next draw notes you play. This is a little advanced and tricky but not too difficult with some time and practice.

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Play on,
Dave Gage

Hear Dave Play:
http://www.myspace.com/davegageband
http://www.myspace.com/harmonicastore