Can you explain how we can use our own personal death as an ally?

"Life is but a player who struts and frets his hour upon the stage and then is heard no more, it is a tale, full of sound and fury, told by an idiot, signifying nothing".  All our lives we look at the world from a perspective of perceived immortality.  To the shaman there must be a clearer way of seeing the reality of this world and ordering the items we choose to place in our personal inventories.  They have learned, over time, that the only way to develop a clear perspective is to take on the reality of their own deaths as an ally.  So they court their own demise, look upon it, hold it close and talk to it. They perch it on their right shoulder and let it filter the world for them.  It is the only adviser we have in life that will never lie to us, will never cloud our sight or perspective with false issues of ego or self importance.  It always tells the truth, no matter what.  We, or rather those pursing the shamanic, must come to grips with it, make it a part of their routine.  When that happens, when it comes to serve as an ally, everything changes.  Nothing will ever be the same.  It reduces our world to the essential.  The problem, however, is that we don't like to give up those things.  We always approach life with a 'what are we going to get out of it' attitude and that disappears.
By reconnecting with the world through your new perspective, life, people, everything --  the connections are actually more intense, but in a detached way.  So you have to intentionally look and search out the things that bring back a sense of awe and purpose.  You will find those things to be totally different than what was important to you before.  It's so simple it seems benign.

What would you suggest for an initial exercise to begin working with this practice?

Just listen.  Listen to your death.  When you feel the emotions you are familiar with that feed your ego, create anger, etc., simply stop, clear your head and think: "I will be dead."  "I am not permanent." "Someday, I will be gone."  "What will this mean in the face of that?"  Sounds simple, easy, couldn't possibly affect you very much, right?  Try it for a day.  In everything you do, every interaction, all the things that you encounter.  "I am become death. The shatterer of worlds."  Your world will shatter under the weight of that finality.  Your death as ally is a tool, a weapon, and a new way of perceiving, literally, everything.  It is a maneuver one should not do lightly.  I never suggest it without the attendant warnings  :)

What you will work with is a dreadfully potent concept which turns into a reality that is hard to deal with.  You'll look back on your life with a new perspective and see all the doors left closed; the people left untouched and the memories not created that would stand the test of a new reality.  All of that, all those things, years and lost moments mean nothing.  It is a gift which leaves you totally in the now, here, where the past is only a phantom.  All you can do is drive toward the future from here creating a new reality which will stand the test of time from a future perspective.  It isn't all meaningless, or bland, or myopic.  You are alive and that is a gift from the heavens no human being should ever deny, or refuse to explore.  That perspective --  your personal death from which everything is measured -- will force you to find new values.  All the worries, frets, actions and plans pale in the face of that until it seems like there is nothing left to hold on to, no place left to find shelter from a blistering wind.

But there is something to hold onto.   Now you have to go to your mother, not the one who gave you this form, but the one that gave all life here form.  You have to gaze at her creations with this new perspective.  You will find that the very blades of grass breathe and glow with life; the sounds of creation will echo in your mind; all around you will find life and a universe teaming with it.  And you know what?  You are a part of it all, dancing in the great show of creation.  Don't waste and fret your time away on that stage.  Reach for the moon, pull it to your chest and breath in its icy fire.  This is my world you've stepped into now, the world of the shaman, the world of awe and power.  Grab it with all four sets of nails and your teeth and ride the bastard out. You'll have a new way of seeing.  Go out, look at a mountain and let your heart open to it.  Think of your death, use that perspective and you will find yourself in touch with creation directly.  You have to replace the old mundane reality that doesn't work anymore with a new one and that new one is your choice.  The choice is in nature.  It is in seeing life itself pulse through the veins of the earth and after that, infinity.