Although we have taught retrieve in the obedience arena rather than strictly working, we have had good success teaching it backwards (using a clicker).
The first step was to teach a hand target... so you get the dog to touch your hand with their nose. Clicking and treating as you improve upon this. You need this to be VERY solid before moving on, as it is the foundation....
Then encourage interest in the dummy/retreive object.... click and treat sniffing it... then only for picking it up.... then for picking it up and holding it for a length of time...
Once the dog is comfortable holding the item (not playing with it) and perhaps even moving around.... encourage them to come to your hand target.... if he already has a habit of dropping short, it may help initially to click and treat as he starts to come to you (but before he drops it).
Eventually you should be able to build so that he brings the item to you and touches your hand without dropping the item... once this is solid, you can introduce a "give" or "dead" cue for releasing the object.
The key with this is to time the click when the item is securely in his mouth... this prevents the potential problem (more common when you use treats or another high value reward to train this) of dropping the item early in anticipation of the treat... only once he is reliably holding the item against your hand target should you start to think about a "give" command - in his mind a retrieve must involve keeping hold of the item! (It doesn't matter that he will drop the item as soon as there is a click... as it is the click which will reinforce the correct behaviour (keeping hold)).
The other option is to train the retreive in a very small area, so he can't run off with it...
Honey has a very good retreive (except when it comes to tennis balls, when she is still reluctant to give them up, but that's a tennis ball specific issue, and is improving greatly using the above method!) - our obedience instructer was very impressed on Saturday at how easily she transferred her knowledge to other items, happy retreiving several different things...