With mine I do lots of things, we go for walks and we play with sacks and cones and coats and blankets, rubbing them down with them, laying them over their back. All very gradual and gently so that they do not get scared, in fact just everything so that they get used to life round the yard. Water and streams too, we have a lovely shallow stream that we walk them through in the summer and splash their legs. Make it firm but fun Best to do in short bursts then let them chill out for a while then repeat, We also bring the farm tractors and large machinery in so that they can sniff it and watch it work, same with the horsebox and trailors. Noises too, we tape wierd noises and play them gradually getting louder. I don't start any real work with mne till they are at least 2 depending on their attitude, build and maturity.
You are the best judge