Winning an won position

Iam consistently getting winning positions from openings or middle games in my tournaments,but i fail to convert it into a win and often end up losing or letting opponent to go away with draw.How can I or rather we work this out? What exercise must be done to solve this problem?

I used to have that problem. Now I just have Fritz chess running in the background. It does a pretty good job of catching my mistakes in rated tournaments.

Improve your endgame and don't just assume trading down is always best.  

Also, look for the moments when you lose the thread.  Do you allow your opponent to get too much counterplay or is it a knowledge thing(maybe going into a drawn ending).  Analyzing your games afterwards is really the only way to improve this.