In holding the leash, make sure that you do not hold it too tightly; there should be enough slack so that your puppy does not feel any discomfort. It takes some getting used to, since it is common for most dog-owners to hold on to the leash too tightly at first.
Some people feel that they actually have more control over the puppy if they hold the leash tightly, but the result is the opposite of what they are seeking to achieve. A puppy will tend to struggle against the pressure and discomfort on his neck when it is too tight, causing him to pull harder at the leash as you hold on tightly to it. When holding a leash, you have to exercise (seemingly) as little control as possible in order to be in control of your puppy.
Here are a few of the recommended ways to hold the leash:
Image: Mizrak / via Flickr