My team is accustomed to receive tasks by a product owner and execute them.
Now in my company, we want them to define tasks from user stories, so they can decide what they will do in the sprint.
Is there a practice that helps my team members, who are not used to such a thing, to start being self-organized and become more participatory?
This is less of an answer and more of a tip: use the sentence "I don't know" a lot. If the team asks a product owner what the tasks are to solve a problem, they can say "I don't know. I need you to help me figure that out." If the team doesn't know what all of the tasks are to complete a story, they can say "I don't know. I know I'll do Task A, but I don't know what comes next." No problem, they can add them in as they go. Are these too many backlog items? "I don't know, but it feels about right. Maybe one less." Knowledge and certainty are great if you have it, but if you don't, the most dangerous thing you can do is pretend like you do.
Keep in mind that (in Scrum) while the Development Team defines the tasks and decides on how much work to accept, it's the Product Owner who decides the stories and their priorities.
Make sure everyone is aware that the PO cares what the Dev Team gets done, but no one outside the Dev Team cares about how, and therefore the responsibility for determining that falls on them.
If the Dev Team knows they're being held accountable for results, and are not being told how to do things, then over time they'll figure out on their own the best process for themselves. Iterate, inspect, adapt.