I start by having them just stand still when I say and then work with setting feet (first the back, then the front). I keep it short, like 5-10 minute sessions. Once they have the idea, then I will set them up 1-2x on the way too and from the round pen as I do free lunge show yearlings 10-15 minutes ever other day. I think the key is however you decide to do it, keep the sessions short, and do it frequently -- at least 5 days a week and sometimes a more thn once a day until they get it -- but once they get it, don't keep on and keep on or they can sour.
Good luck and have fun!