On the size thing, I found one on Amazon, kinda expensive but Kasha's only 2.4lbs ... so we had a hard time with size too.
http://http://www.amazon.com/gp/prod...ef=oss_product
Dogs, especially terriers, are never going to be happy with leashes. My first Scottie used to get out of her collar/leash and run away to chew it to shreds. It took her until about 6-9months to realize that chewing it didn't stop us from getting a new one.
Point being, these little ones are super strong willed. I let Kasha chase after my other Scottie in the house with her leash trailing behind her. Seems to work. Hope that helps!!