Foals from 4 and 5 month old are really still baby's. In the wild they would still drink milk.
Desensitizing can be good, but if you overdo it you get dull horses. So what is really important is that you have to REWARD to foals for what they are doing. In that way you keep them interested in you and your training.
When training animals (or humans
), you have to remember that the RECEIVER determent what is considered a "reward". Since these animals are so young they are probably more interested in getting groomed (a nice scratch under their neck or whithers) than in food.
Besides desensitizing you can learn them to be haltered (learn them to put their head into the halter), pick up their feet and learn them to walk along. That is more that enough for such baby's.
But you want to spent a lot of time of course. Well just BE there. Sit in the pasture (of stall) and just learn to know them by observing them. What do they do? How do they react to other horses, sounds, movement, etc. Learn if they are bold or shy. What do they like? Running? Eating? Lying in the sun etc.