Collection really isn't something that can be trained, it's more like something that can be achieved when you have the right elements (Relaxation, rhythm, contact, implusion, straightness, etc.). I'm still working on the elements myself, and almost certainly will be for some time to come.
Here's a site that I really like: The Art of Classical Riding--Dressage Training for Horse and Rider
It's technically classical dressage, not western, but the concepts are the same no matter what saddle you ride in. There are awesome articles, both philosophical and practical. I recommend starting with the description of the classical seat. So much of the road to collection comes from the rider being balanced and effective. There are other threads on collection here on HorseForum as well. There are some really knowledgeable dressage trainers and riders here who can really help you out.