Just take them out everywhere. On trails, to shows, in open fields, etc. Expose them to as much as possible and work on being confident when faced with these situations.
Desensitize to noises, people, dogs, etc.
Cherie has a great thread about trail horses.. it will help you out. This is how we train a fearless trail horse!
Doesn't matter if you do shows or w/e.. same basic principles apply.