For bags made of "facile" (a type of synthetic material common for many freestyle footbags), it's advisable to treat them gently, knead them in your hands, and wash them a couple of times with mild non-abrasive soap (don't wring them too hard or you'll stretch the fabric) in tepid or cold water. Usually this will make them much more "stallable" if that's what you are looking for.
We do not recommend the procedure we've heard about of people parking their cars on their footbags to break them in. This generally damages the footbags. Instead, we recommend that you not buy a footbag that is so hard you'd be compelled to want to try such a thing in the first place. Most footbags sold today are soft and playable right out of the package. Just knead the bag a little with your hands and you should be good to go.