I go jogging with Rufus (my yorkie), he is 13 pounds, 1 year old and loves to go with me.
I don't run so fast and it's only 30 minutes almost everyday..
I keep him next to me (in that way he learns to stay next to me) and when I'm done with my exercise I let him loose a bit so he can run and sniff and do his thing
Last time we went to the vet for check-up, she told me that Nena has to loose weight (my morkie) and now I take her with me as well. But because she is smaller and slower than Rufus and me, I let her loose so that she can run at her own pace