Play catch with bare hands tossing a ball easy to each other. (if rt. handed) hold your left hand palm out in front of your body. Deflect the ball with your left hand into your right hand. Initially you may need to have both hands close to each other so you don't drop the ball. As your skill develops you can deflect the ball 3 feet or so into your throwing hand.
Once you are really good at this you can do it also with your glove. Your glove will need to be broken in in such a way that it does not have too deep a pocket.
It works very well if you practice it, and a player that can do it really stands out during warm-ups.
Some folks think it is a useless skill (or worse yet hot doggin'), however when you need to turn a quick double play, deflecting the ball is the way to go.
Last year my son was playing 3rd base and a shot was hit in the hole with a runner rounding 3rd heading home. The runner was 2 steps from the plate when my guy recieved the ball and threw to the catcher in one motion and the runner was out.
Next warm-up before the game 5 or 6 of them were working on learning the technique.