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Get a training book or video and read watch the entire thing.Avoiding bad habits is much easier than curing them. The old ounce of prevention being worth a lb of cure thing.Reading and understanding the entire program helps you avoid bad habits.The guys who write most of these books have experience as pro trainers and know the best ways to get results fast, it's what they are paid to do.Contrary to popular belief, not all dogs swim from the get go, introduce young pups to warmer waters and with care. Pups who do not swim well can be helped with a bit of effort. Gun shyness is one of the many things thats pretty easy to prevent but darned hard to cure.
FInd a training program.... ie: Total Retriever Training by Mike Lardy, Bill Hillmann's DVD's, Smartworks by Evan Graham, Fowl Dawgs volume of DVD's (probably the most affordable)... and follow it step by step. All of the things mentioned by others are good things to teach your dog (except for the "Shoot your gun to make sure your dog isn't gun shy"... that's the worst way to gun break a dog). Having a structured step by step process and order of which to teach your dog will be your best bet at training your dog on your own. These programs are geared towards building a set of skills for your dog that you would be proud to bring to anyone's duck blind, goose pit or pheasant field... I kinda sound like an info-mercial, haha. Also look into local retriever clubs that have training days to get around folks who have experience and a passion for the "sport" of dog training. Good luck.
How are you going to know the dog is not gun shy with out shooting your gun? LMAO! I understand don't break them in with 3.5 inch hunting loads but instead start in non hunting environment with dove loads.