Don't. Premature optimization is the root of all evil.
Instead, write your code as it makes most sense conceptually. Write it thoughtfully, yes. But don't think you can be a 'human compiler' and optimize and still write good code.
Once you have written your code (more or less naively, depending on your level of experience) you write performance tests for it. Try to think of different ways in which the code may be used (many times in a row, from front to back or reversed, many concurrent invocations etc) and try to cover these in test cases. Then benchmark your code.
If you find that some test cases are not performing well, investigate why. Measure parts of the test case to see where the time is going. Zoom into the parts where most time is spent.
Mostly, you will find weird loops where, upon reading the code again, you will think 'that was silly to write it that way. Of course this is slow' and easily fix it. In my experience most performance problems can be solved this way and 'hardcore optimization' is hardly ever needed.
In the end you will find that 99* percent of all performance problems can be solved by touching only 1 percent of the code. The other code never comes into play. This is why you should not 'prematurely' optimize. You will be spending valuable time optimizing code that had no performance issues in the first place. And making it less readable in the process.
Numbers made up of course but you know what I mean :)
Hot Licks points out the fact that this isn't much of an answer, so let me expand on this with some good ol' perfomance tips:
Keep an eye out for I/O
Most performance problems are not in pure Java. Instead they are in interfacing with other systems. In particular disk access is notoriously slow. So is the network. So minimize it's use.
Optimize SQL queries
SQL queries will add seconds, even minutes, to your program's execution time if you don't watch out. So think about those very carefully. Again, benchmark them. You can write very optimized Java code, but if it first spends ten seconds waiting for the database to run some monster SQL query than it will never be fast.
Use the right kind of collections
Most performance problems are related to doing things lots of times. Usually when working with big sets of data. Putting your data in a Map instead of in a List can make a huge difference. Also there are specialized collection types for all sorts of performance requirements. Study them and pick wisely.
Don't write code
When performance really matters, squeezing the last 'drops' out of some piece of code becomes a science all in itself. Unless you are writing some very exotic code, chances are great there will be some library or toolkit to solve your kind of problems. It will be used by many in the real world. Tried and tested. Don't try to beat that code. Use it.
We humble Java developers are end-users of code. We take the building blocks that the language and it's ecosystem provides and tie it together to form an application. For the most part, performance problems are caused by us not using the provided tools correctly, or not using any tools at all for that matter. But we really need specifics to be able to discuss those. Benchmarking gives you that specifity. And when the slow code is identified it is usually just a matter of changing a collection from list to map, or sorting it beforehand, or dropping a join from some query etc.