There are multiple ways to break in a new glove, the following page will show you how I go about the sometimes lengthy process. It will also show you some things you should never do and maintence tips once completed.
Glove Wrapping: Besides playing catch, wrapping your glove with a baseball lodged within the pocket is the easiest most cost effective way. As you can see the baseball is placed firmly in the pocket and the yellow jumprope I decided to use encloses the glove as the wrap gets tighter.
Once finished, tie off the wrap and let sit for the next few days. Continue to form your pocket over the next week or so by playing catch.
Tactics to avoid: Cooking in oven or heating it up in any way. Although applied heat can soften leather initially, it leads to the glove drying out faster and knots to crack.
Glove upkeep: Applying shaving cream to the glove can help soften the leather. As seen below lather the glove up and apply all around. The shaving cream will soak into the leather over time. Wipe remaining shaving cream off and let sit over night.