After your dog chases the thing, the next step is getting him to really bring it back to you. There are a variety of different things you can do based on your dog's behavior. If he will not bring back the object at all, it can help to use another toy. Once he is “caught” the first one, show him the second and toss it in the opposite direction. He likely won't carry the very first toy with him, but it will at least get him accustomed to the concept of running back to you after he has caught the object.
After your dog masters this, consider calling him to return to you while he is holding the thing and asking him to drop it. If you show the next thing, he will probably drop the first one to chase after it. Eventually, he will learn that if he comes back to you and drops the thing, you are going to throw it again.
Avoiding “keep away.”
For dogs who like to grab the thing and run off with it, a rope can help. Once she grabs the thing, twist the line and pull it towards you or run away from your puppy with it. This ought to encourage her to accompany you. Even if she does not, reel the rope in and praise her when she gets close, then throw the thing again and repeat. Do this for a couple of weeks and your puppy should come to you naturally.
Obtaining the object back
If your dog drops and stops the thing before reaching you, back off while saying “All the way,” or “Bring it.” Once he reaches the place where you were initially located, go to him and offer compliments, then toss the item again. If the matter is that he will not let go, let him drop it and place a treat by his nose. Most dogs will drop the thing to opt for the treat.
Pick something your dog enjoys
Perhaps the most important principle of all — your dog is not likely to chase after something unless she really wants it, so don't hesitate to experiment with unique objects (balls, Frisbees, sticks) till you find one that she is interested in.