The best method to break in a glove is to wear it and play catch. It takes time. The oven method works well if done properly. Some people swear by it, others don't like it. The advantage is it works quickly.
Moisten the entire glove with water. Even the leather ties. Not soaked but sponged moist so it will not dry too much in the oven.Fill the glove with baseball glove foam and work it around. It is a newer product sold in sporting good stores to break in baseball gloves that are warmed in the sun or oven. Foam style shaving cream is supposed to work well also. The glove should be very wet with the foam. Preheat the oven to 300-400 degrees then turn the oven off. Fill the glove with the foam and them place it in the turned off but warm oven for 4 to 5 minutes. Some people wrap the glove in aluminum foil to steam it a bit. Take the baseball glove out and work it around as much as you can while it is still warm for 10 minutes or so. Repeat this step once or twice more. On the last time tie a ball into the pocket and place it in for several minutes. You should keep working the glove by playing catch and tying a baseball in the pocket at night.
After the oven method continue breaking the baseball glove in by lightly oiling the glove with saddle soap or baseball glove oil. Oil lightly and work the oil in. Too much oil leaves a glove wet which will make the glove deteriorate. I have another article linked in resources below on the traditional way to break in a baseball glove.