Stay is a lifesaving command to teach your dog. In combination with “down,” you can save his life if circumstances ever call for it. When your dog knows how to stay, you can protect him from falling off of something or running into traffic. By training your dog to “stay,” you are single handedly ensuring his safety.
First get your dog’s attention by bringing a treat to your nose and saying “look at me.” As soon as he does so, give him the treat and get another (fingernail sized) treat to begin training your dog to “stay.”
Next, place him in a “sit.” Keep in mind that you will want to practice the stay command from various different positions (ie: lying down, standing up, etc.), but it is much easier to teach from a sit. Get a treat and hold your hand out as if to say “stop” and say the word “stay.” Slowly back up while holding your hand up. If he comes forward, start over. Back up until he stays seated after you stop backing. Call him to you and praise him and give him the treat. Do not ever reward him for leaving his stay unless you believe you released it. It is not a good idea to quickly say “come” when he is already coming on his own and then reward him. In his mind, you rewarded him for coming before you said so.
Repeat this often from various different positions to finish training your dog to sit. It is a good idea to continue working with and training your dog often on the stay command. You never want him to forget how it is done.