Elbows closer together..

Hogan's Five Lessons has a good illustration that addresses that point:

By the way, if it feels unnatural right now that's probably a very good thing - almost everything about the golf swing taken individually will feel unnatural until it is integrated with other parts of the swing that are also done properly and then it is all ingrained into your mind.  

What Clam said.

It might feel good to have the trail arm get driven or tucked into your trail side on your downswing. 

The elbows breaking apart is a very common fault and you see it all the time in high handicappers. All these golfers have low point issues and often hit fat and thin.

Keeping the elbows close together is one of the pieces that helps the golfer retain wrist cock longer into his downswing. Also, keeping the elbows close means that the lead arm is remaining relatively straight on the downswing for longer, thus retaining -- and most importantly keeping consistent -- the length of the golfer's swing arc. Therefore, his contact can become more predictable.

Elbows coming apart can both shorten and lengthen the arc, and you'll end up contacting the ground in a different place a lot of the time, thus having inconsistent contact. It shortens when the arms break apart but the golfer stands up or loses his address inclination to the ground to compensate (thin or topped). It lengthens when they break apart and the wrists uncock early or flip (fat contact). 

There are a lot of reasons why this is important. I'd work on this piece hitting just quarter and half swings at the range, just solely focusing on contacting the ball solidly. Then go from there.

OP... Go to Youtube and search for the 'Flying Wedge' videos.  In particular - the Lynn Blake video is very good.  Combined with the photo that Clambake posted, you should check the video out.  I'd embed it here, but I'm on my phone.

Get the insides of your elbows pointing more up and less inwards at each other. Look carefully at the Hogan illustration. Another way of thinking about this would be that the points of your elbows are pointing at your hip joints. 

Demoed here by Dana Dahlquist:

Wow, thank you for this, haven't had a chance to test this at the range just yet, but it feels completely different, giving me a better stability in my left arm (I am a righty). Really curious to see how this works out with an actual golfswing at a ball now :)

For me, I concentrated more on getting them closer on the downswing than through the whole swing.  The feeling I use is my right elbow pushing toward my belly button.  If I tried on the back swing, I tending to go back too shallow.  

Quote:

Originally Posted by Stretch 

Get the insides of your elbows pointing more up and less inwards at each other. Look carefully at the Hogan illustration. Another way of thinking about this would be that the points of your elbows are pointing at your hip joints. 

 

Demoed here by Dana Dahlquist:

 

Wow.  Great video.  I've never seen this one... But like it a lot.  Thanks for sharing!

I try to keep my left arm glued to my chest on the backswing and don't try to "pinch" elbows yet and just let my right elbow move naturally. But on the downswing, I do try to pinch my elbows. Thinking about the elbows is a good swing thought for me because it "feels" like it keeps the arms together as a unit.  It takes my mind off my right hand so I have less of a tendency to release early. In other words, it seems to help  me maintain lag. I am a two-planer (or a one-planer with overly active legs and hips) and I can't just clear my left hip on the downswing and let the arms be passive (unless I want to hit a big push fade or shank with the irons). I have to do some lowering first with the arms. Pinching the elbows together on the downswing is working for now. It has been more helpful then imagining pulling a rope or trying to drop and dig the right elbow into my side.