I've had the same problem with Jaxon. I've tried the leash/pulling him too but so far no luck. My mom trained her toy poodle this way and he eventually got it.
Even worse - now when we're trying to go to bed, we'll try to pick him up and go upstairs - but he thinks its a game and runs away right before you get him.
He knows the word 'up' - we always say it before picking him up, but not sure how to stop the game. It gets a little frustrating, especially when you're tired and just want to go to bed!!