with it, hour after hour, day after day.
Yeah, that's really the best way to do it. If you're lazy, though, there are some other ways to do it, too. Rub some shaving cream, glove oil, or water into the pocket of the glove. Don't coat the glove with liquid - just the pocket. Place two balls in the pocket, and tie the glove shut with a piece of rope. Throw it in a clothes dryer for five to ten minutes on low heat. That'll break it in good and quick.
So why go with the playing catch method, when you can get the same result after ten minutes of work? Well, for one, water and oils clog the pores in the leather and hasten its deterioration. And breaking the glove in by playing catch will shape the pocket naturally, based on the way you catch the ball. Using the dryer method will give you a nice, flexible pocket, but it might not fit your hand quite the way you want it to. And anything worth doing is worth doing well.