Play games with him! Start desensitizing him to "strange" objects like bikes, tarps, umbrellas, strollers, etc. Start with the lead rope, and once he can accept that all over his body move on to a flag, then play around with different items! The goal is to build curiosity and confidence. Warwick Schiller is my favorite resource for this kind of work! Keep sessions brief and end on a good note!
You are off to a great start! Use your intuition, this is your horse, and you'll have the best feel for what this lil dude enjoys and what gives his brain something to think about!
I think the possibilities are endless as long as you are keeping his developmental age and attention span in mind. (Engaged but not boring or overwhelming)