We were told to observe anicca as we observed the sensations. But how exactly is this done?
Initially, one merely observes the occurance of this or that sensation. As one develops and with greater samadhi, one can discern a rise and fall of different sensations. An common example would be something like a pain in the knees. When one's attention moves to the area where the pain is manifesting, instead of just 'painful sensation', we begin to see that the pain in that area is composed of a variety of sensations, many of which have the characteristic of vibration, very quickly arising and passing away, yet collectively having the appearance of an unchanging unpleasant experience. If we pay attention and have some equanimity to what's going on, we can see that the immovable unchanging unpleasant sensation of the painful knee is composed of a variety of sensations that may be pulsing, changing in heat, pressure, etc. And these sensations may be pulsing and changing at different rates. Some very slowly and some very rapidly. A bit like shifting sands. I'm using pain as an example but the same is true for other types of sensation - pleasant and neutral.
When we can discern its changing nature, we are aware of the anicca characteristic of a sensation.
I inicialy tried to observe anicca in every sensation I had, but that was becoming an obstacle.
I would have advised you not to worry about discerning anicca in every sensation. At the beginning, if you are just discerning sensation - I think that's probably good enough. You may recall Mr Goenka saying in his meditation instructions that every sensation is an indication of change!
As one progresses and one's awareness becomes more refined, we become aware of subtler phenomena and their salient characteristics.
One of the biggest obstacles I had was not being present with what I was experiencing at that moment.
I hope that is of help.