The most natural and best way to do this is to just use the glove. Playing catch is ideal for breaking in a glove, but it can also take a while for it to get worn in all the way. Besides this, they make oil and foam that can be rubbed into gloves to loosen the leather. You can buy these at most sports stores (Dicks sells them for sure).
Try putting a baseball in the pocket of the glove, and tying the glove closed over the ball with a rubber band ot string. Keep it this way for several hours (overnight).