This is the method I used to curb Maxman's leash pulling:
http://www.yorkietalk.com/forums/2580996-post13.html
We use a 3' nylon lead. Max has recently started doing some actual heeling, walking right at my side. When he does this, I praise him by saying, "Good walkies. What a good boy." I pat the side of my leg at the same time. If I have a treat handy, I give it to him.
I do the same leg pat and treat when he sits nicely at my side, next to my feet.