Does she like to tug? Here's what I would try- remove/put away all her toys in the room your going to be working with her in, except for one. Make sure the one you leave out is her favorite. Start engaging in tug with her and get her really excited about playing with the toy. Then toss the toy away, only a few feet. Don't toss it too far or she might lose it. As soon as she grabs it, call her and encourage her to bring it back. Once she does, throw a party- start tugging with her, give lots of verbal encouragement so she knows your happy with what she did. Lather, rinse, repeat. Don't too too many repetitions at first, so she doesn't get bored with it. After she starts doing it consistently, you can add a verbal command like "get it" or "fetch it up".
Luckily for me, Missy was a natural fetcher. Apparently it's not a trait that all Shelties have. I had no idea, because so far both my Shelties have fetched. Missy's favorite game in the world is tug-drop-fetch. Basically I do what I described above. We play tug with a toy, then I tell her to drop it (or let go), and then I toss it, she retrieves it, and then we tug again. Now she will retrieve balls and frisbees without the need to tug in between, although sometimes she thinks she needs to tug.