If your pup is tiny, maybe a ferret harness will fit him?
Hamilton Deluxe Ferret Harness & Lead Set
I can't find one online with a quick search, but at one of the big box pet stores I got a step in harness for Bella when she was still tiny.
At any rate, if you put the leash on the pup and let it drag it around, he'll get used to the feel of a leash. Of course, this can't be done unsupervised, because you don't want him to get snagged on anything.
Alternatively, I started mine out with retractable leashes. They were given freedom to explore, but reeled in when appropriate. Also, the pup will want to follow you, so if you walk, he will, too. Worry about "control" at a later date - let him find out that walks are fun, first.
And if it's cold, you may wish to wait a bit.