I can only tell you what I have done with ours. Dan will put a bit of video on the main TAS site later this morning that we took yesterday of our two.
We bought two Shetland heifers at 6 months, in Ocober. They were unhandled. For this reason we kept them inside. They don't have room to get away or build up any real momentum if they jump around. We intend to calve them in spring 2012 and hand milk for the house, while allowing them to rear their calves as well. Shetlands can live until their late teens / early twenties. We saw one that was 19 and had produced 15 calves. Halter training has therefore been on the basis that we have to get along for many years, so time spent early on won't be wasted.
First, I took a book and sat in the byre and read my book. I ignored the calves. After a wee while, their natural curiosity got the better of them and they came and sniffed me. I did not touch them unless they touched me first. As their confidence grew, I was able to touch them at feeding time, rub them, then brush them. They like being brushed. When they would stand to be brushed without being fed, I got the halters.
I started letting them sniff them, then spent time throwing the ropes over their backs, over their heads, to desensitize them. Don't be sneaky - you want them to trust you. If they moved away, I kept doing it until they stood still, then they got a good scratch as reward. Once they seemed comfortable with that, I slipped the halters on while they were eating. I knotted the nosebands so they couldn't either tighten or slacken and tied up the lead rope to the headpiece and left them on for a couple of days. When I went to feed them, I'd slip a hand under the halter and put a bit of pressure on to move them around.
From there, it was tying them up for 10 minutes, 15 minutes, and always feeding them when tied up and / or giving them a brush, so they associate it with something nice. Tie them up short at first with a quick release knot - I left Blizzard tied on too long a rope and she broke her horn jumping around - and keep an eye on them so they don't go down and get stuck. If you can put down sawdust to give a grippy floor so much the better.
I can now halter Breeze easily. Blizzard is a wee bit less easy. But both walk quite nicely. NOW - I haven't let them out yet and I won't be using a halter to get them to the field for the first time. But once they are out, I plan to halter them daily and bring them in to be fed as they will be when they are milking.
I suppose if you don't have time, you can lassoo them, wrestle them to a stop, stick on the halter and tie them to the back of a tractor

Actually, I think lots of folk use a tractor to get them moving as you really don't want them to get away from you. My vet said they used to do it at home but they used the tractor in reverse, since it was safer that way. Also someone was at the beast's head, giving the impression of being the leader.
You can get a thing called a humbug, which is like a removeable nose ring. This can be a useful "belt and braces" and gives additional control. Lots of folk who show use them on cows (bulls will usually have a real nose ring) as extra security. If you do decide to use one, get the heifers used to it while they are tied up on halters before you try and lead with it.
Be patient but persistant. Remember, you are a predator and they are prey - and they know this, so it's a big ask for them to allow you to halter them. If they are uncomfortable and don't co-operate, don't get cross with them. They aren't doing it to annoy / humiliate / irritate you - cows don't do that - they are trying to stay alive. So if it's not going well, quit, give them some feed and a scratch and try again tomorrow.
Happy haltering!