Lexi will pull until she chokes too, so she wears a harness. I tried to find a photo of the one I use but was unsuccessful..
It is very similar to this one:
Amazon.com: Fashionable Houndstouth Large Car... and has soft padding on the inside.
I would personally recommend a harness for any small dog. Their necks are fragile, and walking with a collar can cause a collapsed trachea.