I believe that is their way of playing. I recently got a new puppy too (earlier this month to be exact) and I was worried on how Max would behave with his new sister and let me tell you he has done great. She's a little Doxie and last time we went to the vet weight 3.5lbs and Max's weight is 12.6lbs but they play well. It's kinda rough for me at times but I know its the way they are going to be playing all the time. Dixie will grab onto Max's hair and he will drag her across the room and its really funny.
And then Max will nibble on her ears and stuff like that. They don't really fight over toys or anything of that kind but they have their rough moments. So maybe its that they need to get used to each other.