My DD is on her 3rd pair. The only way I know to break them in is to wear them. They will be uncomfortable at first, but then again they are uncomfortable each time the plastic is changed in them as well. It's just part of wearing them I beleive. The whole idea of them is that they do their job which is to protect the wrists from hyperextending so make sure that when the plastic is wore out be sure get it replaced. Good Luck!
My dd doesn't wear the plastic or foam. It provides a perfect amount protection without being too stiff. As for breaking them in, they just have to be used a lot.