Put his collar and leash on in the house and let him cruise around without you holding on to it....I'd of course supervise to just make sure he doesn't get tangled up in things with the loose leash. As he already follows you around the house off leash....maybe while he is in the house dragging the leash around, see if he will continue heeling as you stated he does. Perhaps, after some time of this happening you could simply pick up the leash for a very short bit and see if he continues following you....the only coaxing I might do at first would be verbally and bodily....and of course a premium treat, favorite ball or toy as a bit of a lure. I'd never let the leash get tight whatsoever...I'd drop it at the very first hint of a course change and continue on with the other lures.
So glad to hear how Thor has become attached to you so quickly....it's a wonderful feeling.