Putting a ball in it and tying it up will help create a pocket. The problem with that is it usually isn't a very natural pocket.
The best way to break in a glove is to play catch with it. It will take time, but it will be broken in to your hand, the way you catch. Depending on the model and brand, it may be more or less difficult to break in a glove. Many of the top of the line gloves will be difficult to break in. This is because of the quality of the leather, they will last longer. Gloves that use faux leather can be up there in price while being softer and easier to break in.
Breaking in a glove is pretty serious to a baseball player. Everyone has their own preferences. Whatever feels the best is what you should do. Personally I like a stiff glove. Once it gets flimsy at all, it is time for a new glove. Playing middle infield, I went for a shallow pocket and tried to make the glove an extension of the hand.
As for the industry of breaking in gloves... I think it is all trash. The idea is to break down the leather to make it softer. If you want that, buy a cheap glove. I have heard of people putting them in the oven for short periods of time to warm up the leather and then play catch. The oils and mallets and creams are junk, you won't find them being used at a high level of baseball.