Training should start from day one, pups are like children and are a sponge to new information and experiences. Your puppy will be learning about his world from the moment he comes home so its probably best to set the ground rules from the start. Patience and consistency is the key, again like kids puppies like routine. Dachshunds are VERY clever and have a tendency to be wilful at times so its especially important to be a good pack leader otherwise they soon learn to be naughty! lol!
Luckily dachshunds are very food orientated and this helps a lot with the training, they can also instinctively recognise the difference between your pleased voice and the low tone (never shouting) disappointed voice for mishaps.
The other thing to take advantage of while your pup is small is their basic instinct to follow you, if you use this to your advantage in a SAFE place you will find they naturally develop the habit of staying close and off lead work will be easier in the future.
As for the agility you need to be very careful not to put any strain on young bones, muscles and joints but this doesn't mean they cant learn the basic commands of stay and come etc and this will hold them in good stead for when they can start to negotiate low obstacles etc. Very basic agility can begin at six months with more athletic work at over a year.
Do keep us updated, they are such fun little dogs with such a wonderful sense of humour, he will steal your heart and life will never be the same...........