First off the most important thing to keep in mind when trying to catch a ball thrown to you is to face the person who is throwing to you. Stay on your toes, this helps you adjust your feet when catching the ball if you need to move. Never have your back towards the person throwing the ball. Even when the ball is in the air, make sure you are watching the ball. When standing sideways make sure you are looking at the individual throwing the ball.
Next step is the most important one. Watch the ball, all the way into your hands, or ball glove, not just with your eyes but with your head. moving the head with the ball all the way. Important here is that if the ball is headed towards your head, you can adjust your position to catch the ball. Never shut your eyes when the ball is thrown towards you, watch the ball.
Relax your hand(s) before you catch the ball. Once you feel the ball hit your hand or glove, tighten your grip slightly as not to drop the ball. Take your other hand and bring it over to the gloved hand, when using a glove, or when not using a glove always use two hands. Always maintain a firm grip on the ball. Then adjust ball in next position, as if ready to throw again or run with the ball.
Playing catch is one of the favorite pastimes of our youth, knowing the proper way makes it enjoyable.