First, figure out why they're cross cantering. Baby Girl was unbalanced. And just not strong enough to canter in circles and pick up the correct lead. She also has a one track mind; she couldn't learn to go forward at the canter and steer at the same time.
After building up some butt muscle cantering poles and jumps, I got her in a round pen. I let her have her head completely and told her to canter. I didn't ask for any lead or direction; as long as she cantered. We cantered for 10 straight minutes, cutting around the round pen like fools until she figured out I wanted her to A.) canter, B.) keep cantering. In order to fulfill those things comfortably, she had to find her balance. She taught herself to stop cross cantering.
I started to insist on her staying on the rail in the round pen after that, but only picked up my reins if she started to cut to the inside.
I also found she picked up her leads better without a lot of bend through her body. I had been over bending when asking her to canter. I bent her neck very slightly, used my outside leg, and asked her to canter straight lines. (I had someone on the ground to tell me if I had the lead.) If she picked up the wrong lead or cross cantered, we tried again.
Only know are we beginning to canter circles! Big circles, spiraling in and out. Her canter was still fast, but at least we got all the leads. We're just starting to touch on slowing down to a more "rocking chair" like gait.