Don't discount the value of mental games to help tire out a pup. People have already mentioned the food dispensing toys where they have to figure out how to get the food out. Basic training, sit, down, play dead, roll over, etc., are also things you can teach your puppy. Notice I didn't include stay in that list; stay is a little much to ask of a 12 week old. I wasn't able to get even a 3 second stay out of my little one until he was closer to 6 or 7 months.
Sure, the at 12 weeks your pups attention span is going to be very short but there is no reason they can't learn these basics. Don't expect them to hold it very long, you may get a second or two, but it's the idea of teaching them and making them think.
Only work with your pup in 5 minute increments right now because that's about all the attention span you get. Some Shelties though, once they realize food is involved, will work longer so you have to be careful not to overdo it.