He's just being a baby!! He's not crying or yelping necessarily because you're hurting him but perhaps he thinks he's in trouble? The best thing to do is just to IGNORE him when he does this. He may be doing it simply because he just doesn't want you leading him around by the collar.

Is he used to being on a leash?? If not then this could be the whole problem! Break him into being on a leash and maybe he won't do this anymore