Congratulations on adding a Pekingese to your family! I always say that everyone should have one. Since they don’t always come to you lead broke, I thought I would give you some pointers as to what has worked for me.
First of all, make sure he thinks you are the best thing since sliced liver, will follow you anywhere and has absolute trust in you. Make sure you have the proper collar/leash for him and that it is very lightweight. He shouldn’t even realize there is anything around his neck. Pekingese have such a thick neck that it is hard to find a regular collar that they cannot slip out of. I prefer a “slip collar”—like a choke chain, but made out of very light fabric. Then use a very narrow leash with it.
Second, NEVER pull on the leash! As soon as you pull, the brakes go on and you have a standoff. One solution to this is to use a retractable Flexi Lead instead of the regular leash. I like to cut the existing strap off the end of the flexi and attach a small snap, which then clips right onto the collar. This allows you to get some distance away without pulling on him.
Third, never leash train in your house or where he feels comfortable around the house. Take him to a park, out to the end of your driveway, or over two streets—anywhere where he will not feel at home. Make sure you have treats with you. That also helps to take his mind off the fact that the collar is on. Show him the bait; say “come on, let’s go”, and start walking. Here is where the flexi comes in handy. It allows you to get 15’ away from him and will probably make him think you are leaving him. They will invariably move. If they don’t I just keep talking to them and walking around them. They will usually pick it up very quickly. Praise and give a treat when they start walking. The first day, 5 or 10 steps are enough. Usually by the second or third day they will be following you willingly.
Good luck! Pekingese are stubborn but also very willing to please the one that they attach to.