Training classes are great, but you have to have the dog on leash to get there!
Yes, he needs to associate having the leash put on with good things. I'm assuming the harness is already on him; if not, you have to get him comfortable with that first, then the leash.
For walks, dump a handful of really yummy treats (chicken, hot dogs, cheese) on the floor. Attach the leash while he's eating.
To countercondition him, set aside a couple minutes a few times a day to work with him. At first simply get out the leash and toss him a couple of treats, then put the leash away. When he isn't running and hiding when he sees the leash, do the same but a bit closer.
Once you can stand near him holding the leash, squat and give him a few treats, then walk away.
For the next step, hold the harness in one hand, as you would when putting on the leash, and the leash in the other, then give him a treat. Repeat until he isn't nervous about this, then hook on the leash, give him several treats and praise him like crazy.
Yes, it's a time-consuming process, but you will get him over his fear more quickly than only dealing with this when it's time for walks.
Added: do NOT leave a prong collar on any dog when not actively training, especially a small dog. The ring could get snagged on something and seriously injure the dog.