The "official" method of teaching a dog to fetch is the following:

Teach the dog to take the ball/dumbell/whatever from your hand with a "Take it" command. If necessary, gently open the mouth and place the item in. Holding onto the item, teach the "Give" command so the dog will give the thing back without you having to wrestle him/her down to get it. Offer a small (cat-type) treat in return for the item and use lots of verbal praise and petting. As the dog gets better about taking and giving, start teaching "hold", so the dog will hold the item until you say "give". Gently hold the mouth closed for a moment and then longer as he/she learns the hold. Once all that is pretty solid, start moving the item out from the dog a bit, so he/she has to reach for it. Then, you can move it downward, so he/she gets the idea that fetching something from the ground is good. Then, light little tosses outward with the great commands you've taught your dog and you should be well on your way to playing fetch and not having to chase the dog to get the item. If necessary, you can rub a little of the treat on the fetch item and encourage the dog that way.

I've taught two dogs fetch with dumbells and one took to it quickly and the other didn't want anything to do with it until I put swiss cheese on the item. Most of my dogs have quickly picked up the return the ball thing, since I call them to me (one command) and if they don't respond, I ignore them until they do. In getting the ball from them, (teaching the "give" command) I take hold of the ball while they have it in their mouth and say "give" one time (it is important to use ONE command, as the dog will learn to count and will only do the command when he/she KNOWS you mean it). I hold on until the dog releases the ball and then praise all over the place.

Hope this helps. Let us know how it goes.