Here's how we do it:
When first tying the calf or when first walking the calf, we always put two halters on the animal. We don't ever want it to get away and think that if it fights enough it can get away again. Two people handle the calf at first, one on each halter rope. We have a couple of homemade manila rope halters that are adjustable to fit any animal, from a small calf to a grown cow. The rope halters have about 10 to 12 feet of lead rope that can be wrapped behind the handler if the calf tries to get away. We run the rope behind us across our butts so we can essentially lean back and almost sit on the rope if the calf should put up much of a fight. By doing this, the calf can't really do anything but circle around, and she can't do much of that if there is a second halter and a second handler working with her.
We usually leave a calf tied for about a half hour the first day, then, while it is still tied, start brushing it. I like to use what some call a dairy brush. It has a handle and a square head, with long bristles. The handle gives us a few more inches of reach, and the bristles are soft and feel good to the calf. Some people use a curry comb from the start, but we've found a dairy brush or similar brush gets a much better reaction from the calf for the first few brushings. Be sure not to jump back if the calf moves away from you. She needs to learn she can't move away from you. Talk to her soothingly and be calmly persistent.
Offer some grain when you are through brushing. The first time or two the calf is tied, she probably will refuse the grain and, if she is tied too tightly, she can't get her nose down into a bucket to eat. A shallow feed pan is best.
When you are ready to start teaching your calf to lead, set several shallow grain pans around the corral, maybe 20 to 30 feet apart. Put a very small handful of grain in each pan, then start leading your calf toward one of the pans. Give a tug on the lead rope and encourage her to take a step forward. Talk to her. The instant she takes even a half step forward, release the pressure on the lead rope and quietly praise her. Give her a few seconds, then pull on the lead rope again. When she gives to the pressure of the rope or chain under her chin, again let up the pressure and let her stand there while you quietly praise her. The pressure under her chin is uncomfortable; releasing the pressure is her reward for taking a step forward (giving to the pressure).
When you get the cow to the first feed pan, give her time to stand there and relax enough to find the feed. Then, start working your way toward the second feed pan. She will catch on quickly. By the time you are heading for the third or fourth feed pan, she will probably be leading you.
It's worked well for us – I hope it works for you.
Also:
We have built what we refer to as "the wall." Two sturdy posts are set in cement about four feet apart and about six feet high. Cross pieces made of 2 x 12's are screwed into the posts horizontally, with about 2 inches of space between each 2 x 12. The space between the 2 x 12's allows the animal to be tied at nearly any height, but is too small to get a hoof caught. The horizontal 2 x 12's form a semi-solid wall in front of the calf. The animal can be cross-tied to the two posts, or tied to one post only. She cannot circle around as she could with a single post. There is an extra margin of safety because the handler can, at any time, step to the other side of the wall, out of reach of the calf. If the calf is cross-tied, two animals can be tied to opposite sides of the wall at the same time.
