Give them time. It takes time to learn just like anything else. If they start pulling and you've already taught them the "sit" command, have them sit for a minute and then start again. You might want to keep the leash nearly straight up so that they cannot see it, too, and keep it wrapped around your hand for awhile to give them a very short lead. I love to watch them when they first start because they bounce like little rubber balls.
They will learn easier on pavement than on grass where there are so many "smell" distractions.