One way you can do it is just by ear. It takes awhile to get good at it, but with practice you can easily find the harmony of a lead.
I've always done it that way myself... just trial and error.
Sometimes I'll play the chord that's being played behind the lead to see what notes are available but most of the time it just comes naturally.

It might be easier for some people than others. I'm always singing harmonies to pieces of music just to see if I can do it in real time without screwing up.
Doing the higher harmony is relatively easy, but coming up with a lower harmony screws up your head a bit cause you end up accidentally putting notes in unison.