There are many different methods for breaking in a baseball glove, and each method has its supporters and detractors. If you asked a dozen different baseball players how they break in their baseball glove, you are going to get a dozen different answers! I suggest you check with the manufacturer of your baseball glove to see what they suggest, as gloves made from different types or grades of leather may have different requirements.
The two basic goals of breaking in a baseball glove are to first soften the leather and then to create a pocket in the glove. No matter what you do, most will agree that the most effective way to break in a baseball glove is by getting off your duff and using it!
Softening the Leather: There are a number of different oils and lotions that can be used to soften the leather on your baseball glove.
Foam Shaving Cream (NOT the gel)
Vaseline
Saddle Soap
Manufacturer's Solutions - Most of the major glove makers offer their own oils.
Mink Oil or Neatsfoot Oil (Some manufacturers frown upon this)
Tanners Glove Oil
"Hot Glove" Treatment. This treatment consists of putting a special foam on your glove and then baking it in your oven for 4 minutes. This method is very controversial among baseball glove owners - some swear by it, others call it harmful to the glove.
One of the few things people will generally agree upon when it comes to breaking in a baseball glove, is that in order to soften the leather - more oil, soap, cream is not better! Use cream and oil in small amounts and wipe it around your glove.
Forming the Pocket: Besides actually playing catch or spending your afternoons throwing a ball into your glove, there are a number of ways to form a pocket in your baseball glove. Another great method (especially if you don't have a partner to play catch with) is to visit a batting cage and instead of batting, use the machine to catch balls and help break in the glove (however, you might want to hit just a few times, because you know you need it!)
There is always the popular place a baseball (or softball) in the pocket and tie the glove shut with shoelaces, string or even a belt. Some people do this, and then place the glove between their mattress and sleep on it. It’s very uncomfortable, but hey, if it works for you, then do it. There are also several products that are designed to hold the baseball glove shut and in the proper position while it is not in use.
In the end though, nothing beats just getting out there and playing with it!