Sounds like you're going about it the right way, but it does take time & patience. And, foals all learn differently. The first Mini foal we raised just took naturally to leading--I could take him out in the yard & he'd walk & trot & pose so nicely. I showed him when he was 2 months old, but of course as soon as we got out in the show ring he forgot his manners--he still led not too bad, but he tended to want to walk on his hind legs & he was hollering for his mom... :lol:
Our foals this year, in comparison seem hopeless. One is 3 months old & the others are 2 months old. Honestly, it seems like the more I take them out & lead them, the worse they get. The first time I took the oldest filly out in the yard she walked & trotted real nicely. I was amazed. Unfortunately, it's been downhill from there. Sigh. They are starting to come around now--it's not like I'm working with them every day, they've really had very little work at all--it's just that when they started out so well (and all 4 of them did start out quite well) you expect to keep going from there, not regress!
Do you have someone to lead the mare while you lead the foal beside/behind her? Sometimes having mom along encourages the foal to walk along better, then before baby knows it, you're leading him/her off away from mom.