How to Break in a New Baseball Glove

Steps
Purchase a new glove. Choose a glove that you can fit your hand all the way into and that won't slip off your hand. If you play a certain position, get that type of glove.
Purchase baseball glove conditioning oil. This oil will soften, enrich, and preserve your leather glove. It will also get that sweaty hand smell out.
Get a baseball or softball, depending on your needs for the glove.
Put the ball in the glove, tie it with string, and leave it out in direct sunlight for most of the day. This will get the leather hot and easy to shape.
After you take the glove out of the sun, untie it, take the ball out, and shape the glove by pressing in the pocket and opening and closing it. Throw the ball into the center of the glove's pocket as hard as possible. Repeat this step several times.
Close the glove around the ball tightly and wrap it with the string again and store it overnight or over a weekend in a dry, dark corner away from small children.
After the set time is up, retrieve the glove and remove the string and ball.
Another way of breaking in your glove is by putting it under your mattress while it is tied up with the ball inside. You can put it under the mattress, sleep on it, and take it out in the morning.

Tips
Try the inverted glove trick for extra break-in. This can also be used for a makeshift opposite hand glove for skill building.
There are now foams available in sporting goods stores. Apply the foam and lather into the glove. Place glove in a 300-degree oven for four minutes. Work glove repeatedly every which way while still warm for 10 minutes. Repeat this process four to five times. After taking the glove out of the oven for the last time, insert a baseball or softball into the glove's sweetspot - or where you'll most likely be wanting to catch the ball. Allow the glove to cool around the ball. This method is akin to breaking in a new glove for six months.
Store underneath mattress overnight and sleep on it.
Avoid plastic gloves at all costs.
Rather than buy foam from a sporting goods store, cough up a dollar and use regular shaving cream (not gel). Used it all the time to condition gloves. Cheaper and works better.
Beat the glove every which way. Be careful not to injure your hand.
Throw the ball into the glove repeatedly and as hard as possible.
Breaking in your new glove may take some time, so be patient with the process.

Warnings
Don't bust up your fingers when beating the glove.
Don't buy gloves that don't fit perfectly at the store. It's like a shoe; buy one that fits when it's new.
Don't do any of this with any glove you spend more than $100 on, you'll want to actually break in this glove the old way, as your parents won't want to spend $100 on a new glove every season because they get worn out too fast.
Don't let anyone else use your glove.

Things You'll Need
New glove
Baseball or Softball
Baseball glove conditioning oil (found at sporting goods store) or shaving foam
String or rubber bands
Time
Sunlight
Dry, dark place
Mattress to put the glove under