Light weight chain collars are my choice in lead training. Teething is the most critical time. Anything you teach the pup during teething will be relate to pain. Teething usually lasts until 4-5 months of age. Check pup's bite daily to see that baby teeth are coming out.
Crate training is ideal.
Puppies play hard but sleep long hours. A crate represents a den-like safe place. It also helps in house training. Place your crate where pup can see you - beside your bed at night is ideal. This gives the feeling he is not alone.