Linseed oil… most bats come with two coats already, but you need to add another. Take a spoonful, rub in in with a soft cloth, and leave it face up to dry overnight. You can recoat it if you want- I’d never use more than two coats.
THEN you get to start knocking it in. You can use a regular ball (preferably a new one) but to avoid finger squishage you’ll want a mallet- essentially a cricket ball on a stick. Start out by banging it gently against the entire surface, harder in the center than around the edges. You’ll want to gradually knock harder and harder, although you don’t want to get all the way up to full power swings. Keep it up for about 3 hours, total- or as long as you possibly can. Make sure you don’t use the seam of the ball or mallet- every time you play, you’ll feel it whenever a ball hits those little seam dents.
You’ll want to oil the back of the bat too, although this isn’t as important.
If your bat cracks, sand it down and re-oil.