Prospective memory, which involves remembering to perform intended actions, is essential for independent daily living especially as we grow older. Yet, majority of everyday memory failures are due to prospective memory lapses. Memory strategy training can help to tackle such lapses. We present Prospero, a wearable virtual memory coach that guides users to learn and apply a memory technique through conversation in natural language. Using physiological signals, Prospero proactively initiates practice of the technique during opportune times where user attention and cognitive load have more bandwidth. This could be a step towards creating more natural and effective digital memory training that could eventually reduce memory decline. In this paper, we contribute with details of its implementation and conversation design.