Usually this is done in a lesson with a riding instructor on a lesson horse, who can give you direction as you go.
If you don't have an instructor, but are being lunged by a friend, I can give you a few thoughts. First is to make sure your friend knows the horse and can lunge the horse well WITHOUT you on If the horse is being lunged from the bridle, tie the reins up or remove them; you should have your hands free. Make sure that everything you do, you do in both directions to work your muscles (and the horse's) evenly.
When you're riding a horse on the lunge, there are a number of things you can do to work on your balance. Since you don't have the reins in your hands, you can do all sorts of things with your hands and upper body. One of the easiest and most straightforward is to put your arms out like an airplane, and just balance, and move with the horse.
You can also circle your arms (small circles, big ones, forward and backward). Rotate your torso so your arms are in front of you and behind you, and then rotate the other way. Roll your head on your neck like you're loosening it up--this can do very interesting things for balance, so be prepared.
Something rather fun, that you may want to try first at a halt, is called "around the world." Take one leg and swing it up and over the horse's neck, so you're now sitting facing sideways. Take the other leg, swing it across the horse's rump, so you're now facing backward. Swing the first leg around the rump, so you're now facing off to the other side...take the second leg, swing it across the neck, and now you're back sitting astride again. As your balance gets better, you can do this at a walk, at a trot, and even at a canter. (Don't forget to go both ways )
Obviously it helps to have a very quiet, calm horse. A jumpy horse may be very uncomfortable with your weight shifting around like this. This is another good reason to do lunging for balance exe4rcises with an instructor on an experienced lesson horse.