Yeah, I had this same problem with my corgi.

All I did was just throw it a foot or two for a while, and when he turned around toward me I praised him a whole lot, then gave the command "drop it" and started throwing it further and further and he eventually learned how to fetch, but don't say anythig to them while they are walking back to you, not even a command, because it will distract them and they might put it down again. Also, he's really young and independent. Just be patient and he will get the idea sooner or later. After all, it is his instinct.

Good Luck!