I have posted this before but what I like to do is let the horse figure it out for himself if possible. IMO learning to wear a halter is about giving the head to pressure...instead of resisting it.
I like to use about an 8 foot length of stiff rope, Like lariet rope, and attach it to the halter and let the colt wear the lead and halter for a few hours to a day or so in a small safe pen. He will step all over the lead, which is too stiff to wrap around his legs or fence posts, and he will learn to give to the pressure. He's doing it to himself, not some big meanie head human...and once he's ok with that, just giving to that pressure, you can go on with what DarkChylde wrote (which I completely agree with). This is all done with supervision of course. To me, I just like letting the horse figure somethings out on its own, this is just one part of leading of course, but I like this first step.