If you are stronger than the lamb, you will be able to teach him to lead any way you like. I teach young horse colts to lead with a cuff around one of their front ankles. Someday every horse in the world is going to get their front feet tangled in something. If they have been taught to lead by their front feet, they don't panic. They stand and wait for help.
Just keep at it, the lamb will figure it out..