ARe you talking about nipping at your feet as you walk by? That is, does he get up and follow you and your feet, bounding along behind you? Or is he "lunging" at you in a semi-defensive posture?
If the first, then that is normal puppy, and particularly Sheltie behaviour. "Ouch" didn't work for me either. What worked was getting another dog! Really! But I also discovered both my dogs respond well to a growly "Ah! Ah!". I wish I knew that before.
If he's lunging at you in a less-than playful way (believe me, you can tell the difference), then yes, you have an issue to address.
Either way, you really don't want it. So another suggestion is to redirect the behaviour. I just picked up a e-letter on dog training tips where a dog would bark uncontrollably so the trainer had the dog do doggie "push-ups" instead. Still released the energy but in a safe way.