I'd highly recommend an obedience course from an instructor who stresses positive reinforcement, preferably one who has worked with small dogs before. It not only teaches the dogs some valuable skills but it teaches you why your dog behaves the way it does and how to address issues.
How old is he? The earlier you start the better.
All that said, Chachi's advice to lure him with treats is a good place to start. Also, practice comes on a leash or long leash to prevent mistakes.
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