I've had plenty of wild babies and don't fret, they DO come around and mature friendlier than anything! I've never met a horse I couldn't tame down
The younger the better too!
If you can get them into a small stall that will be best, and the quickest way. Most of the time I leave the halters on them, even though I REALLY REALLY hate leaving halters on for safety reasons! But, it is important that you can grab them and they can't get away... so make sure there is NOTHING in the stall they can catch the halters on and hang themselves. Better yet, add a leather breakaway crown to it! I prefer to keep babies in a cheap leather halter that will break, plus it's easier to punch holes in it and modify as they grow.
At any rate, keep them in the stall until you can catch them fairly easily. Be VERY slow around them and give them no reason to fear you. If they back away, freeze. Once they are settled, you can continue to move around them. Just clean their stall and feed around them with little bother to them, but do catch them and sit in there so their curiosity overcomes them and they learn you are okay. The BEST way to win over a weanling is to scratch their itchy spots, which they will appreciate even more with those winter coats they've got on.
Once you can catch them fairly easily, you can let them out for playtime. Sometimes I just leave a lunge line (if in a big arena) or a lead rope (in a round pen) on them the first few times so I can grab them from afar. That way from day one they realize they cannot get away from you. They won't understand how you can grab that 20 foot lunge line so far away from them and drag them over, but it generally makes a big impression on them if they never play the "run away for hours" game.
Once they are no so bad in the round pen or arena, I leave a really short catch rope on their halter, like only a foot long. That way I can still grab them without going for the halter if they are still a tad skittish.
I usually turn them out with older horses, so they are usually influenced by the easier to catch horses and learn to come over to the gate when the others do. I also always feed them after they are turned out, so they get used to the routine and are anxious to come over to the gate and be caught when called.
You will just have to find what works for you, be very careful if you leave ropes or halters on them and supervise carefully.
Andrea