Your westie can learn the same commands as every other dog with patience and practice. You should start small, fun training sessions with him already. On your walks start teaching him to heel for a little bit at a time throughout your walk and praise him lots tell him ok to show him he can go back to exploring. This will hopefully show him that walks can be fun exploring time but there are some times when you need him to stay close. He's small so a retractable leash should be ok but with puppies that like to pull I recommend a regular leash until they are trained because retractable leashes break easily if puppy sees a squirrel.