I like to start with something that's very simple and easy to understand. I'm going to teach the horse to touch his nose to an object. I've found this works really well in part because it is outside the horse's normal training program. It's so different from anything else he's been asked to do, he has to pay attention to figure me out.
I like to begin with the horse in his stall. I put a stall guard up across his open door. That way he can get his head out, but, if he starts to get pushy about the food, I can easily step back out of reach. I begin by holding a small plastic cone between his nose and my body. Don't worry if you don't have a cone. Any handy object will do. I've used whips, hard hats, the lids off of supplement buckets. Anything that's safe, easy to hold, and large enough for him to see will do.
I want my horse to be successful. Without actually pushing the cone at his nose I want to position it so he's likely to bump into it. Most horses are really curious and will want to check it out. As soon as they touch it, I click and hand them a little grain. About a teaspoonful is all that's needed. The horses are usually really surprised and excited by this. They forget about the cone and everything else except my hands and my pockets. Why are they getting grain? Is there more? They can get very pushy at this stage. Keep yourself safe, but basically ignore this. Stay focused on your primary intent. If you get distracted by your horse's greed, you'll miss opportunities to reinforce him for good behavior.
One of the rules of shaping states that unreinforced behavior tends to go away. As you reward your horse only when he touches the cone, he will begin to orient away from your pockets. I have seen this take less than five minutes with some horses and several hours or even days with others. Be patient and be creative.