There are glove conditioners you can use or some use oil. Put oil at the lower part of the glove's pocket.

things I do when I have a new glove:

1. I throw a ball back and forth to the pocket of the glove
2. constantly press the fingers of the glove toward the center
3. I put in two balls at the pocket of glove so it would shape nicely when I keep it.

http://www.discussfastpitch.com/softball-discussions/167-how-do-you-break-new-glove.html

The best why to break in a glove is to play catch with it.

Put some conditioner on the glove (I still use shaving cream but I am "old" school) and play catch as much as you can. When you are not playing catch just throw a ball into the glove while you are watching TV. When you put the glove down to rest, rap a ball in it but not to tiht rubber bands or a shoe string should do the trick.

Soak it down with Barbasol (old fashioned shaving cream), put a ball in the pocket, wrap with large rubber band or bungy cord and place under your mattress for three days and nights until it dries. Works GREAT.