This post is not a tutorial on the best way to train a Dexter to lead, nor is it exhaustive in its suggestions. It's merely an account of what we did, including some mistakes we made, but since we can look back and see that it turned out well, it seems worth sharing.
Like many "newbies," we had made a couple of errors.
1) We had no way to get animals from the barn to the pasture unless they could be led. Up till the time we got Sara, we always led the horses back and forth, and that worked fine. It didn't work for Sara! We had to drive the trailer into the pasture, lure pregnant Sara into the trailer, and drive her up to the round pen. Luckily, we did that a couple days before she calved.
We were now able to let Sara into the barnyard where she and Siobhan would find shelter for the winter, and her hay could be kept dry.
We began making friends with Siobhan, brushing her with a soft horse brush and getting her used to being handled. A trick that I recently learned from a "cow whispering" young lady is to observe where mama licks her baby and replicate that with the brush or scratches. Mama knows her baby's sweet spot!
handy mini halters that have a "catch strap" on the small sizes, perfect for getting hold of a skittish calf. While we were in the barnyard working, we would tie Siobhan up short, leaving her to figure out on her own that fighting the halter makes it pull, while yielding to it relieves pressure. We never leave a calf unsupervised while it's tied!
The carabiner clip on the halter is the solution I came up with because the rings tend to disappear into the folds of flesh under a bovine chin, making it hard to clip the lead on. It was a good way to clip on quickly, then move the clip to the more secure ring before tying or leading her.
Let me add one important caution here: When haltering a calf, ALWAYS monitor the halter and loosen it as the calf grows! Halters can and do get too tight and cause actual injury if not loosened as necessary. A halter is for an animal that is handled regularly! Even a grown animal can gain weight or add a winter coat that makes a halter become too tight.
That's one reason I'm a fan of early halter training!