I dont think it is something u can teach. It is natural but I guess you could try if they start from young.

Put a harness on them. Let them get used to it a few hours a day.
Bring them to a new area which doesnt have too much noise to scare them. They will start exploring while u hold the leash. Eventually it will be a normal thing.

As for me, it only works for my Pepper. The rest wants to be carried if we go shopping or to the garden.

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