It's easier if you first teach a horse to step away from the pressure from the ground.
While riding I used my leg behind the girth to make the horse move sideways (other leg keeps the hrose moving froward) and I push a little each time the outsid leg goes forward so the horse knows that he needs to move sideways (away from the pressure). I also bend him slightly to the direcition where we are going but it's really just a little bend.
I agree, teach them to yeild from pressure on the ground first. Make sure as soon as they give, you give too, or they will not learn. Once they have it on the ground, you can put leg on and as soon as they take a lateral step you yield. Be quick to reward and never punish when they are learning this or they will learn to run sideways out of fear. Make sure you don't lose the forward momentum. Slowly, as they get better at small steps, you can continue asking for two steps sideways etc. I would start on the quarter lines of the arena and ask them to yield towards the outside track at first - they find this more comfortable. Good luck!