Just concentrate on not opening your mouth. Pretend that opening your mouth will bring on instant execution or something.
You could also try giving the person you interrupted a quarter every time it happens. One of two things will happen, you'll go broke or you'll stop finishing others' sentences.
Sometimes finishing another's sentence is not a bad thing. For example, if you're brainstotming with someone and you're really clicking, you might finish each other's thoughts. But if it's done so that you feel you're being rude, you should make a concentrated effort to stop, or at least apologize for your actions.
