One of the best things I picked up from the Gun Dog puppy guide was NOT to tell my pup off when she was carrying something in her mouth - even if she picked something precious up in the house - which did get me some funny looks from people I know. Instead, I tell her she's very clever and such a good girl (not always easy to stick to!!) and so instead of running away with the item, she comes towards me because she thinks she might get a reward - in which case, I say "thank you", whcih is her cue to give me the item, and I tel her "good girl" again.
It works!!