I've work some with leather products. I would not do anything to it that dries the leather. So I would not bake it. A good leather oil would be good and can probably be found at any shoe store. After oiling it, it will be a little more flexable and that's a good time to put a ball in it overnight.
What do you guys recommend to break in a new baseball glove? I've heard everything from baking it, to oiling it, putting a softball inside, and rubber-banding it, to doing nothing (just using it).