I think it's more of a conditioning thing, rather than actually teaching them to lift thier legs up. They have it in them instictively - they don't want to knock thier legs on poles, it stings. After a while they do seem to be a little more cautious. Just practice and let them do a lot of free jumping to get thier "jumping legs" before you get on them and throw thier balance off...that will help them build up thier nerve too, without depending on you to do all the work for them.
"Keep a leg on each side and your mind in the middle"