Re: My Leo is here...
You can wash it on the delicate cycle (no softner) and then hang dry. I think they recommend hanging to dry so that it doesn't shrink. I always just tossed mine in the dryer on low and it was fine. Then steam iron it. It doesn't seem like the ironing would do much, but it does soften it up.
The best way to break it in is to just use it! If you have bigger kids you can let them play with it, LOL. Mine used it as an airport runway, did summersaults down it, drove cars on it. Leo doesn't need a lot of breaking in though, just a wash, dry & steam iron and it'll be pretty soft already.
What color did you get??