Look at the last six moves of your game and ask a simple question: how many of them did you choose, and how many were forced on you? Whoever is choosing has the initiative.
It is the least material thing in chess. No points, nothing to count, and it can vanish in one move. But at every level below master it decides more games than pawn structure ever will, because a player who has to answer a threat on every move eventually answers one of them wrongly.
Paying a pawn for it
8 
7 
2 
a b c 
d 
e h 1 Follow who is doing what. White grabs on d5 and wins a pawn. From that moment White is the one being asked questions: the knight on a5 attacks the bishop, so the bishop must move; the pawn on c6 attacks it again, so it must move again. Black is a pawn down and perfectly happy, because every one of his moves comes with a threat attached and White has not had a free move since.
That is the trade a gambit makes. One pawn, in return for being the player who moves first in every skirmish for the next ten moves.
The signs you have it
Your moves come with threats. His moves are all defensive. His pieces are on squares he did not choose, like a knight on h5 or a rook on f8 that has to sit there guarding f7. You are the one deciding where the game is played.
And the signs you have lost it: you retreat a piece for no gain, you spend a move defending a pawn, he gets to make a developing move with no threat against it. One quiet move at the wrong time is usually enough. If you have the initiative and you cannot find a threat, look at checks and captures again before you play something slow.
What to do with it
Keep it or cash it in. Keeping it means finding a move that carries a threat, even a small one, so he still has no time to organise. Cashing it in means turning it into something permanent while it lasts: material, a pawn on the seventh, or a mating attack. It does not keep. Trade a few pieces and the position calms down, and then the extra pawn he took is still on the board and yours is not.
The other side of the argument is worth learning too. If you are the one defending, the answer is not to sit still: it is to make a threat of your own, or to see the idea coming and stop it before it starts, which is prophylaxis. And the surest way to get the initiative in the first place is nothing more exotic than getting your pieces out first. To practise being the one with the threats, work through kingside attack puzzles, where the defender never gets a free move.