I prefer nylon snap-type or nylon/chain combination collars for little puppies. Place the collar on your puppy and let it stay on. Ensure you can fit two fingers between the puppy's neck and the collar.
It's common for the puppy to start scratching at its neck. This is not a cause for concern and should subside shortly. Avoid attaching the leash immediately. Allow your puppy a few minutes to acclimate to wearing the collar.
You can switch to a choke collar when serious training begins.