Rub saddle oil over the entire surface of the glove using your fingers or a clean cloth. Massage the oil deep into the pocket and around the interior of the fingers, thumb and webbing. Sop up any excess oil with paper towel. Allow to dry overnight.
Take a baseball and set in the proper position in the glove's pocket. Tightly wrap the glove around the ball, folding in the fingers first, then the thumb. Secure the glove into this position using several thick rubber bands or shoelaces.
Allow the glove to rest in this position overnight. Repeat as necessary until the desired pocket has formed. Place the glove underneath the edge of a mattress or other heavy object for added resistance around the glove.
Wrap the glove in a similar manner but use a softball instead of a baseball if you desire a bigger pocket, such as for an outfielder or first baseman's mitt.