I personally don't like the water soaking method for several reasons.
Getting a glove saturated wet can drive the natural oils from the leather. It's the same process you see when you soak in a bath tub and your fingers get wrinkly! Luckily, since you're still alive, your body will replensih the lost oils from your skin. But oils from your glove will not be replenished, though conditioning the glove can help somewhat.
The other thing I don't like about soaking is that the interior and padding of the glove will tend not to dry as fast as the outer shell. This leaves the inner workings of the glove prone to mold and mildew.
Shaving cream probably isn't the best break-in conditioner either. The supposed advantages of shaving cream are ease of use- I'll give you that one- and that it contains lanolin.
Lanolin is perhaps the single best leather conditioning agent. But, if you take the time to read the label of the shaving cream can, you'll find that precious few actually contain lanolin. The only one I'm aware of is the foamy "Beard Buster" variety from Barbosol.
Besides that, shaving creams will contain harsh soaps, emulsifiers, zinc stearate and a host of other chemicals that I can't even pronounce!
I'm sure that the "soaking and shaving cream" method will soften the leather, but I think the long-term damage to your glove is a bad trade-off.
One product I love for breaking-in gloves is "Doctor Glove" from Franklin. You can find it at many sporting goods stores and places like Wal-Mart. It has the exact same foamy consistency as shaving cream, along with the ease of use, but contains none of the harsh chemicals. It also contains lanolin- good stuff for leather!- and neats foot oil.
When breaking-in a glove, I concentrate my efforts in the natural hinge areas. If the glove is really stiff, I bend a crease in the hinges and work it by hand a bit. I also use a bit more of the leather conditioner in those spots.
The other thing to do with your glove is use it, use it, use it...and then use it some more! Play catch as often as you can. You might even consider catching a few rounds of balls in a batting cage to get things really loosened up.
The attached website link offers some of the best glove break-in advice on the net. Check it out!
http://www.sandalady.com/