It's important, IMO, to establish some ground rules about what is "legal" and what is not. It's completely confusing to a pup if they are allowed to do things that later become a "no-no". Of course you never punish an animal for doing something when they don't even know it's not allowed, but neither do you let them entertain themselves doing something you don't wish them to do. So, physically remove the pup from unwanted activities and substitute something else, e.g. if they are chewing on your furniture it isn't always enough to redirect to a chew toy. First remove pup from furniture, then offer chew toy, and if he goes back to the forbidden item, insist it is not allowed. You have to be more persistent than he is, which can be a test of your patience, but nothing worse than being inconsistent in what you allow. Lots of praise when he chooses correctly! And IMO, it's just fine to teach a dog that "no" means stop whatever you are doing, and remove him from whatever it is, but again, be consistent.
By the way, "no" is an important word. If it is always enforced (and that doesn't mean being abusive, just not allowing the behaviour) it will be understood and may one day save your dog's life when it prevents him from doing something potentially harmful.