Yup Jana pretty much said it. Just a few things to add. Get rid of that muzzle leash for starters. When you walk with your sheltie have that treat in your hands and keep it by your leg. Your sheltie is going to want to stay by you this way in order to recieve the treat. Make him learn the word heel. If you must use small corrections with the slip collar do so. Another thing to try is the watch me command where he must be close to look at you in your eyes as he walks. The treat in your hand for the watch me as you walk is an added bonus. Start retraining in walking areas where there are less distractions like a park or large parking lots that the store is closed for the night. Ball fields that aren't being used are excellent training areas.