The best way to break in your lacrosse stick is to play lacrosse with it, but when you first get a stick the mesh pocket can be pretty stiff and not deep enough. The shallower the pocket, the more difficult it is for players to keep the ball in the pocket. The internet is filled with "pocket forming" techniques (some involving soaking the head in various substances like shampoo) and pocket stretchers / pounders that can be purchased. For youth lacrosse, I'd suggest following the simple steps below...
In addition to your new stick, you'll need a regulation lax ball and a screwdriver. Below is a picture of a new stick prior to breaking in the pocket...
After about a day the pocket should be sufficiently stretched to start playing.