There are worse embarrassments than a misbehaving dog on their leash, sure, but still, holding onto your dog's leash for dear life with both hands as you take them through the park is something we'd rather not have to put ourselves through. You want to be the dog-walker who looks totally in sync with your canine, not the dog-walker who appears to be flying some sort of dog-shaped kite.
It's never too late to teach an old dog new tricks, but the sooner you start leash training, the better. The old pull-and-yank game will only teach your dog bad habits in the long run, so learning how to leash train a puppy should be one of the first things you do when you bring your new friend home.
Start with the collar. Leash training a puppy begins with the collar, or harness. Before they can get into the habit of following the leash, they need to get comfortable wearing the collar or harness.
Make leash-training part of playtime. This applies to some breeds more than others, but dogs generally love an opportunity to perform. When obeying leash commands results in treats and praise, your dog should wind up taking more interest in your voice than they do in that cat across the street.
Don't pull. Start yanking and your dog is going to think you're playing tug-of-war with them. When they pull, what you want to do is turn yourself into a statue. Don't move an inch until they settle down. This will teach them that this isn't a game they can win, yanking won't pull you in the direction they want to go, all it's doing is grounding them until they're ready to come along.
Take practice walks. Before you take your dog to the park, the beach or the boardwalk, take some practice walks. These can be around the backyard, the home, the parking lot, anywhere you have enough floor space to do some pacing, and where there will be few distractions. You want to avoid crowds, traffic, and other animals until you know that your dog can be trusted not to fight you every time they're distracted.
Emphasize voice commands. Ideally, you don't want to ever have to stop your dog with the leash. You don't want to have to tug and pull and yank. You want your dog to heel at the sound of your voice. So teach them voice commands like stop and sit, and then teach them those commands while they're wearing the leash. And then it's just a matter of putting this together with walking.
Always pack some treats. When walking your dog, no matter how well they may be trained, there will always be some distractions that you didn't account for. A stray dog running circles around you, noisy neighbors, squirrels prancing around all over the place. Keeping some of your dog's favorite treats in your pocket means that you have something to pull their attention away if they get too distracted.
Know what to expect from your breed. Most cattle dogs, for instance, are eager to please, but very energetic. So they may pick up on the commands quickly, but will need some extra play before the walk to burn off some of that energy and help them stay focused. Terriers tend to be stubborn, having been bred to work solo, hunting mice and rats in the barn, and they may demand some patience on your part. Know what to expect from your breed and understand that some are easier to train than others.
One more note: don't take your puppy out into crowded areas until they've had their shots. Canine diseases like rabies, parvo, and heartworms are easy to contract, but they're just as easy to prevent. The sooner you get your pup into the Animal Care Clinic for their shots and medication, the better.