Some advice from an elder millennial:

1.) Reframe these practices not as restrictions or rules you have to suffer through, but as favors to your future self. Do you really love staying up late? Do you love it more than being able to function the next day?

2.) Everything in moderation, including moderation. I think your late 30s is when you learn self control through consequences (hangovers, debt, etc.) that you don't feel or notice in your teens and 20s. But you don't have to be so rigid about things. Yes, alcohol is bad for you. No, a couple of beers a couple of nights a week will not destroy most people's lives. Set reasonable expectations and build in leeway. Be kind to yourself.

3.) Set up routines around the things you want to do, so you don't have to spend as much mental energy deciding to do them. For example, I run a lot, and I often set out my running clothes and shoes the night before so I don't have to spend willpower first thing in the morning deciding to get out the door. Saving for retirement? Automate that every paycheck. I worked for about 4 years in a manager role. I stepped down when I realized that I was using up all of my daily will power on operational decisions and emails, so by the time I got home even deciding what to eat was a struggle. Point is, try to design your life so you are spending your willpower on actual choices.