Honestly.....training a puppy in winter is harder on you than on the puppy! Most Shelties LOVE the snow and the cold. My 16 week old is in heaven bouncing around in the snow these days! He is happy to go outside and just play and dig! Its hard on ME because I have to go outside with him to make sure he does ALL his business before I dare bring him back inside. So I sit there in the dark at 5:30 a.m. in my winter parka, hoping he does it fast. Good news, is that he starting to turn into a pro. Bad news is trying to get him back inside! He's loving the snow just a little too much!
That being said....when we get to extreme cold (-20C, etc) then its more of a challenge. Hopefully by then, you will have had enough weeks under your bet for you dog to get quick in and out.
Booties, coats, etc. I don't personally think they are necessary unless you are going for long walks in only snow. You definitely don't want salt on your dogs paws, so if you are walking city streets then, boots for sure. For wet snow/rain, a poncho would help to keep the worst wet off. Coats....Shelties don't need them...even puppies.
I just towel my dogs off when they come inside. With snow, no mud, so its only wet I'm dealing with.
If you are tempted to using pee pads, please don't. I get that for some really small breeds there is no avoiding it, but for Shelties....Jeez....they were bred to withstand the elements!!!