IMO, you should train a puppy to walk to heel with a normal lead clipped to a normal, flat collar. The puppy should learn to walk to heel because it is rewarding to do so, not because it is trying to avoid what will happen if it doesn't. Also, choke chains or slip leads (like a fabric/rope version of a choke chain) can cause serious damage to a dog that isn't trained to walk to heel, especially a puppy.
Going back to your original question, puppies can learn from very early on, well before they even leave the breeder. They can also learn several things at once, so you don't have to wait until puppy has learnt 'sit' to teach 'down' for example, you can teach them both at once.
As minimu has said, use the fact that the puppy will be very interested in you at this age to teach a good recall. Make sure you always reward the puppy well for coming, and also teach the puppy that coming to you often means he/she can return to what they were previously doing and coming doesn't mean the end of 'fun'.
And yes, yes, yes, do use treats/some of puppy's usual kibble. You can also use toys/games a s reward. I never really get how people do train without rewards, it's alien to me.