1. Save more by imagining yourself into the future.
Not to put too bald a face on it, but most people are hard-wired to be bad at long-term investing. We live in the present and have a hard time sacrificing pleasures now to obtain future rewards. To overcome bias toward the present, some behavioral economists suggest that as you sign up for your 401(k) or make your IRA contribution each year, imagine yourself at age 70, drinking coffee in the park, traveling or buying a Christmas gift for your granddaughter. "It's the old parable of the grasshopper and the ant," said Utkus. "There are oversavers and there are undersavers."
Moral: If you're a grasshopper, recognize that trait in yourself and work to correct it.
(Read more: Is there a hedge fund in your future)
2. If you believe you can win at the investing game by picking stocks or fund managers, remind yourself that you're playing against Warren Buffett.
Some people see investing as hitting a tennis ball toward a target. Because people tend to be overconfident in their own abilities, they believe they have the talent to hit it. In other words, they believe they have the talent to pick stocks or actively managed mutual fund managers. (If you think you're one of the rare people who is not prey to overconfidence, you should know that this is one of the most common and deep-seated cognitive errors. Consider this simple stat: 80-90 percent of drivers believe they are above average).
Many retirement plans reinforce the mistake of overconfidence by offering their participants a wide selection of actively managed funds. Plans offer an average of 19 funds for both participant contributions and for company contributions, according to the Plan Sponsor Council of America, and the funds most commonly offered are actively managed.
But research shows the majority of actively managed funds underperform the market. In reality, you (and those mutual fund managers) compete with millions of other people to hit the same small target at nearly the same time, and some of those other investors are as good as Warren Buffett. If you let go of the illusion you can win, you be more willing to embrace passive index funds and ETFs, whose lower costs can give you a leg up in long-term investing.
(Read more: Why IRA fees may hurt more than 401(k) fees)
3. See time as a resource as valuable as money.
Transitions are hard for everybody, and people tend to avoid taking the financial steps they need to take when they are undergoing one. When it comes to investment decisions, many people tend to favor the status quo.
When they are nearing retirement, they don't take some common sense steps to prepare themselves, like gradually spending less in the decade before retirement, or even, when they do retire or downshift, rebalancing their portfolios and deciding on a sensible withdrawal rate. (One rule of thumb is 4 percent a year). Benartzi suggested that if you remember how much you value time, you might be more able emotionally to cope with the prospect of having less money—and therefore might bring yourself to the important task of actually creating a new budget.
"The mistake is thinking that money is everything," he said. "(People) get used very easily to spending more. … But we know that the correlation between money and happiness is very shaky. Perhaps people could spend a lot less and be happy."
4. Recognize stories of investment wins for what they are: fish tales.
We've all run into them: the guy at the cocktail party or the financial advisor who has written the book that claims to have the easy answer. They trip us up in two ways, by making us think it's possible to win at active management (see No. 2) and/or by persuading us that we should invest as they do.
Technically, this is the cognitive error of availability—the tendency to make judgments about events by how easy it is to think of examples. "It is just human nature that they are going to write about those investments that have done well," Statman said.
Maybe this person actually knows what they're talking about. But in general, people remember stories about the big fish they caught, not the hours they spent fishing or the small fish they threw back. People playing at the active management game will remember the one winning bet they made: They won't share the fact that their overall portfolio returned less than the market.
—By Elizabeth MacBride, Special to CNBC.com