First, oil or spray your glove down good. Then, place in the oven at 325 to 350 for 3 to 5 minutes, depending on stiffness of leather. Pull it out of the oven and rub off excess oil. As soon as you feel you can place your hand inside the heated glove do so. (I recommend a batting glove of some sorts for this part.) Once your hand is in work it a couple of times then place a Baseball or softball in the pocket and close the glove as if you were making a catch and tie the the glove in this position. Then, let the glove sit for 4 or 5 hours. Untie the glove and work it for 30 minutes. Repeat as necessary.
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Generally speaking a new baseball glove is "stiff" and needs to be "broken in" There are several ways to accomplish this and one way is not to place it in an oven.
Techniques to properly break in a new baseball glove are to:
Daily rub the glove gently with olive oil;
After that, place a baseball firmly in the center of the glove and fold it over the ball. This makes a "center" place in the glove where most of caught balls fall into;
Practice catching ball with the glove each day and begin to feel the glove gain some softness. The glove should feel comfortable on your hand.
For the most part, a new baseball glove can be "broken in" in a week to ten days.
Each player has his/her own way on this procedure, but to answer the question, no, a glove is never placed in an oven.