I have a mare that can be spooky at times and I wanted to see how she would react to the plastic shavings bag, however I tried a different approach. I held it up to her so that she could check it out (she's very curious by nature) and she was unsure, she snorted and sniffed. As she relaxed I gently held it near her neck for a few moments and when she relaxed with that I touched her neck with it. If she got nervous again I would bring it back to "near" her neck, wait until she relaxed and then touch again. Within 15-20 minutes I was gently rubbing her entire body with it and shaking it and flapping it (gently, not wild). I would scrunch it up while I was rubbing, I draped it over her neck and then her body, etc. etc.. She did great! I then put it on the ground for her to walk over it. She didn't get to the point of "couldn't care less" but she did do very, very well in all and I will try this again in the next few weeks.
For us patience was the key and taking baby steps so that Lily felt she could trust I was not going to harm her in any way.