Romans 8:14 and its context help us to understand what it means to be led by God and what evidences we should notice in our life.  “For as many as are led by the Spirit of God, they are the sons of God.”
First we need to turn away from sin and receive forgiveness. “There is therefore now no condemnation to them which are in Christ Jesus.” (verse 1) Second, we need to make a commitment to pursue spiritual interest. We are to “walk not after the flesh, but after the Spirit.” (verse 1) Do we “delight in the law of God after the inward man” (Romans 7:22). Do we delight in pleasing God by living a just, loving, and pure life?  
Some evidences of being led by the spirit include –
(1)    A freedom from enslaving fear in our relationship to God. This release from fear would led us to a warm, loving relationship as a child to a Father. “For you did not get the spirit of servants again to put you in fear, but the spirit of sons was given to you, by which we say, Abba, Father.” (Romans 8:15)

(2)    Our life and activities will be disciplined with a purpose. We will have an energy we didn’t have before. “But if the Spirit of him …dwell in you, he …shall also quicken your mortal bodies by his Spirit that dwells in you.” Romans 8:11 Spiritual interests will energize us, whereas sin and its results will weaken us.

(3)    As our faith grows, we will realize if we suffer with Him (through self-denials, losses and difficulties), our eternal reward will far outweigh the present difficulties. “if we suffer with him, that we may be also glorified together. I reckon that the sufferings of this present time are not worthy to be compared with the glory which shall be revealed in us.”  Romans 8:17, 18

(4)    We will observe God’s overrulings in our lives and will learn the needed lessons for spiritual growth. “We know that all things work together for good to them that love God.” Romans 8:28

(5)    Are we being “conformed to the image of his son” (Romans 8:29)? The character image of Jesus included all the fruits of the spirit (Galatians 5:22, 23). If we have his spirit we will more and more reflect the family likeness. Do we have Christ’s attitude as expressed in Philippians 2:7,8? “But made himself of no reputation and took upon him the form of a servant.. he humbled himself and became obedient…”

All of this is a lifelong pursuit that takes study of God’s word to keep the standard before us. It takes determination and prayer as we can’t accomplish it ourselves. At first we take baby steps, but if we keep trying our best we will be led by Him and we’ll be filled with the spirit. As we grow our capacity grows. We should never stand still as a Christian but keep trying.