Puppies love to chew on anything. This behavior cannot be changed - but it can be redirected by focusing on the positive. When you catch your dog or puppy chewing on something inappropriate, don't scold. The pup will only learn to clamp its jaws down or hide from you while it eats forbidden things. Don't chase the dog all around screaming at it. Puppies often think that this is a game of chase and will want to continue - playing "catch me if you can" is natural fun for pups.
Instead, praise the puppy for showing you the item and for allowing you to gently take the item away while offering a food treat as an exchange. Then reward the pup with the food treat. Eventually you can taper off the praise for inappropriate things such as cigarette butts, litter, shoes, and gloves. At the same time, increase the praise for good things such as dog toys - your pet will begin to self-select the "good" items to pick up since they garner more praise!
The end result of this response is a puppy that will not run away from you - and will eventually bring items to you such as toys, dropped keys, the newspaper, etc. Take the natural instinct for chewing and chasing and turn it into something positive.
An additional benefit to praising your puppy for bringing things to you, no matter what they are, is that someday the pup will find something dangerous - a box of rat poison for example. At that time instead of running away from you at top speed with the rat poison clamped in its jaws, the puppy will stand calmly and allow you to remove it - this could save your dog's life someday so get started praising your puppy for bringing things to you.
