This I tend to start as young as possible, a lot of veterinary practices now run socialization classes for young puppies these are well worth attending. Once all Health checks and injections have been completed, take puppy out and about to meet your family and friends, get as many people to come into your home to meet and of course to play with puppy, at the same time you can begin outdoor socialization start by taking your puppy out into fairly crowded places this can be very scary for a young puppy so I usually carry him/her, let as many people as possible fuss and talk to you and puppy. 

Hoover with his Auntie Heather in Derbyshire prior to his leaving for America

This early socialization can make a big difference to puppies confidence or lack of. Traffic is another big hurdle to overcome I have never known a puppy especially a Lancashire Heeler to be unafraid of big scary, smelly, noisy cars, lorries and motorbikes, confidence is gained slowly again carry puppy out on the footpath near your home it means a lot to him/her to see that big brave Mum or Dad (Pack Leader) is not afraid of these scary noisy things, then find a fairly quiet road for puppy's first walk, he/she will probably shy away, pull back, screech, cry or totally refuse to walk, this is normal, don't allow any tension of your own to travel down the lead you need to keep really calm even though people may be looking at you and puppy thinking you must be doing something awful to this poor little one you are not, Puppy learns from your body language if you are tense then puppy is tense, so keep calm keep the walk short just enough for him/her to have had a taste of these big horrible noisy smelly things, little treats for good behaviour help greatly at this time again, let strangers talk to and fuss puppy this helps build confidence, try to keep a regular routine do this little walk two or three times a day and soon you will see a vast improvement and in a couple of weeks puppy should not be bothered by the traffic, you can then move on to busier roads, but remember to always praise Good behaviour. 
Please note: I always keep puppies on a good strong well fitting collar and lead for their own protection.