Yeah, it so much depends on the dog!
My older female is ball crazy, toy crazy. She hoards all the toys in the house. So, I was able to transfer her drive for retrieving a ball to the dumb bell. She will actually bark to get me to throw it. The big thing with her that I never figured out how to break her from - was she would pick up the dumb bell by the bell, not the handle. (I retired her from schutzhund before she perfected her retrieve.)
My younger one, I started out prying her mouth open to take the dumb bell, then petting her head while she held it for a bit, then rewarding her with a treat. Gradually, she got so she would take it on her own. Then, I began asking her to follow me (facing front) for a short distance before letting me take it out of her mouth. Then, I get her to walk by my side, do a front, let me take it from her, then fuss beside me.
As she's gotten used to the dumb bell, and retrieving a ball over the jumps, she's gradually getting the idea that she should retrieve the dumb bell as well, though she is still not at all consistent with this, and more often than not, refuses to retrieve it. I have a small, light dumb bell that I keep in the kitchen, and I will throw that for her just before I give her her food. She will retrieve it, get a reward, then go to her crate for her supper.
(She'd probably catch on faster if I remembered to do this more often!) But because I have 2 dogs and a cat that get fed at the same time, that makes it a bit tricky....