Are you working on basic obedience and trick training with your pup? Practice the basics inside your home including sit, stay, down, and watch me. Then practice outside on a short leash. Start with a quiet area with no distractions and gradually move to areas with more activity like people, cars, other animals. Be sure to praise and maybe treat for obeying.
For walking training, use a 3 foot nylon leash with the harness. No retractables.
A lot of people have great success with clicker training.
Here is a great post from Britster about teaching "come":
http://www.yorkietalk.com/forums/3405839-post3.html
Are there any other specific commands you are having trouble with?