When you bring your new pig home, he (or she) will probably be very nervous and scared, since he has left everything familiar behind and has to adjust to all new people and surroundings.
Be patient at first. You will want to keep him or her in a small confined area until he is more comfortable. Let the pig explore a bit and get comfortable with his new surroundings, and once he doesn't seem apprehensive, try to get him to approach you by tempting him with food. Sit on the floor with the pig, and offer a bit of food (for piglets, it is probably best to just use their regular food for most of the training - small bits of vegetable or fruit could be used for special treats).
You may just need to put the food on the floor in front of you at first, and gradually work up to the piglet taking the food from you. Do this repeatedly over the course of the first few days at home and have everyone in the family have a turn so that the piglet can bond with all the family members.
Once your piglet is comfortable with being near you and taking food from your hand, you can reach out and try to scratch your piglet gently under the chin or along the sides. Move slowly, and speak calmly and gently to your pig. Remember to give treats as you do this, and the piglet will eventually realize this is a pleasant experience. Move at a pace that your piglet is comfortable with, though. If he resists being scratched or petted, back off a bit until he is more accepting.
There is a fairly fine line between spending enough time with your piglet and spending too much time, though. While you want to take the time to get to know your pig and have him or her trust you, you also want to make sure you do not lavish too much attention on your baby, or he will come to expect attention all the time. This is also true of using food as a training tool - spend time with your pig without giving treats as well, or he will think of you as a food dispenser and may start to expect or demand food contstantly. Keep the bonding and training sessions short and regular, with breaks to give the pig time to rest and develop the ability to entertain himself a bit too.