We have a Dutch Belted bull calf that is four and half months old. We have had him since he was two months old. We purchased him with his damn. It took a month to halter brake and gentle him enough to be able to lead him.
Now that he is halter broken, he likes to be brushed and rubbed but does not have any interest in working at all. He has no interest in leaving his pen even for a casual walk. When he is taken out with my daughters other calf he still just drags his way around. Any suggestions?

Never worked oxen but when I have an animal that is reluctant to leave home, I make sure that all good things happen when away from their "home". Give a lot more attention to the animal when out of the paddock. Treats, love, praise. If it's possible, maybe give them a whole meal or two away from home.

When my girls were leading their 4H calves, in the beginning the calves needed a reason to walk so the water trough was in one end of the barn. When thirsty they walked quickly. Then in another pen they grained them so they were interested in getting to the other end of the barn. While tied and grained the girls cleaned up around the old milking stanchions they stayed in otherwise and added hay. Always a reason to walk wherever the girls wanted to take them. Soon it was only because the girls asked not because of the bribe at the end of the journey.
We broke our foals to line drive in the same barn with the same theory. We had weanlings line driving before their mother's milk dried up.

You need a heeling dog to nip him any time the leadshank comes tight.

grey and Jonathan have the right idea.

We train our fair heifers the same way as Jonathan described. They quickly learn to walk for you when they have motivation. We walk them to their feed dish in the morning and then walk them to water during the day, and then walk them back in to the barn at night where feed is waiting for them.