I always use a multistep process to break-in my gloves. First, definitely use either vasoline or linseed oil (preferred) and stick a ball in the pocket. Take care to place the ball in such a way that the glove will wrap around it. This avoids the creation of a crease along the heel that could cause the glove to always want to close flat, rather than around a ball.
After the ball is situated, use duct tape to secure the ball in the mitt, and be sure to tape the glove as tight as possible. Leave the glove like this for a few days. After the time has passed, remove the tape and the ball, and the glove should still retain a nice little pocket even when not in use. To continue to break the glove in, invert the glove (this is done by pushing the webbing) periodically to ensure the mitt will bend and flex in both directions while still retaining the pocket.
Hope this helps!