What statements and approaches should I avoid when learning functional programming?

Question

I have 6 years of programming experience, mostly following the object oriented paradigm, and I'm interested in learning functional programming. My main goal is to become a functional paradigm programmer and not a programmer who is using a functional language but still writes in imperative style.

When I'm practising in functional programming I still follow an object oriented way of thinking, like loops, mutable variables and so on. I picked F# as a basic functional language and because it's very tightly integrated with other .Net languages, like C#. F# allows usual object oriented statements, therefore you can use F# syntax but not actually produce functional code.

What statements and approaches should I avoid when learning functional programming?