For a little background, I start high end cutting prospects for a living. My colts have won 100's of thousands of bucks, and I've started over 600 head, so I've been where you are. Getting those first steps is often the hardest part, so don't feel like having a problem at that point is a reflection on you. Take your time, use good sense, and watch out because that first step can be a big one. LOL
When working colts on the ground, one of the most important things I'm teaching the colt is to move when I kiss or cluck to them. The noise tells them to move, my directions tell them where. For those first steps on a ride, I want just a few small circles in each direction. If you get two steps, stop and pet. Remember to build on what you can get, and don't ever ask for something you don't know you can get. Two steps will become five, ten, thirty, and so on. Keep them circling small at first, because if things get western, you can shut them down a LOT easier by pulling them around than if they get strait and line out across the pen. If there is someone you TRUST, you can have them lunge you around the pen. I've not worked with many folks that I trust enough to do this for me. I do not like for the horse to be on a line you have them lunged, as you can get tangled in the rope if things go badly. Remember, just because they lunge perfectly normally, doesn't mean they will if they get scared and decide to buck. Biggest thing is to get them VERY comfortable with moving in the pen. Don't try and control them very much for the first few rides. Some of them don't want to walk much at first and go pretty fast. Relax and keep your hand down, you've loped a lot more than that colt has. Let him feel confidence from you, like he can turn to you when he relaxes a bit more. Many times they don't want to move at all, and then they don't want to stop. They can do no wrong on the first ride. Just be there to help when they need it, and stay out of the way when they don't. I know it is scary doing this at first, but it is pretty darn scary for the colt too. My hand is down 95% of the time. I do use my legs to cue right from the start. IMO, if your colts aren't slowing down with your seat, you aren't ready to start picking up your hand yet. Most of my colts never do buck, so don't let me scare you, but do have a game plan just in case.
The biggest places to watch out for bucking to set in are changes in speed, and direction. The changes in speed include from zero to a walk, walk to a trot, and of course, trot to lope. The change in direction comes in that little place where your horse can't see you when changing direction of bend. He has you in he left eye, then not at all, then on the right. The point when he no longer raises his head in the middle (when he no longer sees you) is a real good indication of how comfortable he is.
I like my first ride to last about 10 minutes and no more. Next ride will be longer and faster (lots of walking at first, then more trotting, then more loping). If you feel comfortable enough, feel free to wave your hat around, and swing a rope off of them from the start. Might as well add just one more new thing while everything is new. Later on, a new thing will be a bigger deal. By the second ride, I'm wanting my colts to stay on the outside of the pen from nothing but leg pressure, and trot a decent figure 8 using the whole pen. By the third ride, I want a clue of a stop to begin to appear, as well as a step or two back. I also want to be able to trot smaller circles within the round pen. When I'm pretty comfortable with the smaller circles, it's time to go to a bigger pen.
Do remember that if things get western, lean back and RELAX. It probably won't be nearly as bad as you think, and, I PROMISE you that you are MORE likely to get hurt trying to get off of a bucking colt than if you just try and ride him. Also, keep looking at the base of his neck or your saddle horn. You land where you look. Take a peak at the ground, or the sides of the pen, and be ready to land on them.
Two cannibals were eating a clown. One looks up at the other and says, "Does this taste funny to you?"