We chose braided kangaroo martingales from Leashes by Design. They're pricey, but they last forever!! And the design works well with long fur.
Yep, yep, yep! Chris! You beat me to it again! Definitely, I advocate martingales for Shelties.
The thinnest possible and rolled leather if possible. These collars sit loose around their necks when not attached to a lead, so no matting. And yes I'm talking about Leashes by Design. There are other manufacturers but I've never found one that compares.
These are not to confused as choke chains. When measured properly, they tighten just enough to avoid that slim Sheltie head from slipping its collar. And because they fit loose I can leave the the collars on all the time, which means they always have their ID tags.
I'm not a fan of harnesses except as last resort but that is a personal bias. I believe that Shelties, of all breeds, can be trained to walk nice with minimal training. I'm no training expert myself, but I can walk my dogs on leash without them pulling me down the street.
Control of the leash is key. Its a two handed technique. Assuming you are right-handed, dogs walk on your left. You hold the leash loop in your right hand. With your left hand, you control how much leash play your pups have. If they start to pull you shorten the leash length with your left hand by pulling it across your front and holding it firm.
When they are walking steady by your side, you treat and praise. If they start to pull again, you left hand shortens the leash again and brings pup back to your side.
My tuppence worth.