How to finish a win. I can't do it.

I keep getting into winning positions that are really complicated. I can never finish my opponents off when I have a small advantage such as an exchange, a pawn, or even a minor piece. I keep throwing away wins at the last second or just can't get the right technique to finish off my opponent. How do I stop throwing advantageous positions?

Few people thoroughly use their advantages when recieved. 

If you're up a piece, make it an active piece. But if 1 of your other minor pieces aren't active, you do not have the advantage. 

Rooks are hard exchanged for say bishop for rook exchanged. Certain positions a rook was better, while a bishop was bad. Those exchanged are hard to see, but are very benificul.

Being pawns up are the hardest advantage. When you are up a pawn(s), drag the game into an endgame. Such as minor piece+pawn+king endgames, or just king+pawns endgames. That's the time pawns shine. 

This is probably my biggest weakness is quick games, but I almost never blow a big advantage in slow games. I think the main reason is having the time to consider your opponents threats.

Seirawan discusses this area in 'Winning Chess Strategies'.

He advises - consolidation - which I think is really developing all your pieces, getting your king to safety and put your pieces on safe squares. It's easy to go all out straight away and leave something undefended, or leave a chance for a counterattack.

Stopping your opponents threats is crucial.

Then you're looking for ways in which to:

1. Trade into a winning endgame - the more material that comes off the bigger your advantage is. But don't trade into an endgame which your opponent can draw e.g. opposite bishop endgames and rook endgames can be drawish even with an extra pawn. This is where endgame knowledge helps - you don't want to be calculating the specific endgames too much when making decisions, you should know which are winning.

It's still important to decide which exchanges favour you and not just blindly simplify.

2. Use your material advantage to attack (but be careful not to overpress) - if you have an extra piece you can attack with more pieces than your opponent can bring to defend.

Just noticed your rating - this advice may be too simple but might help someone.

I used to have trouble with this too but Soltis' book "Turning Advantage into Victory in Chess" should be a big help, then move onto Fritz Technique Trainer. 

I usually, if I'm winning, I just play safe and swap pieces until my opponent only has a king left I just use basic queen/rook/2 rooks/pawn etc. checkmate to finish my opponent off.