My Sheltie thinks i'm a sheep.

[corbinam]

That's what I did with Bailey as a puppy. If she tried to herd me while I was walking, I would stop dead in my tracks and then she would stop trying to nip me. Then I would slowly take one step forward, praise and treat her for being calm. Eventually, I'd pick up speed to my normal walking pace. I'd continue to praise and treat her for not herding me.
Also, if she did nip me, I would scream in a high pitched voice "OW!" and act upset. Shelties like to herd their sheep, but they don't want to hurt them. Only took a few days and Bailey stopped herding me.

This is what I used as well. Also, I would sometimes stop and turn and face my puppy when he/she was herding. Apparently it instinctively isn't as fun to herd if you are facing them (I forget why?) So I would say "Unh-unh!" Stop, turn and face, then like Randi said I would slowly take a step and reward calm behavior, or redirect to a toy.