Ideal play or training sessions with your dog end with the dog feeling both tired and successful.
One method that accomplishes creating a sense of accomplishment in both you and your dog, as well as enforcing obedience, is doing a session or two of doggie sit-ups. It helps to have a lot of small treats on hand for these. At first, you may have to give a tiny bite after each part of the exercise. Eventually, your goal will be to complete the entire set before a treat is given.
Start by having your dog sit. Once sitting, have him lay, then sit again and finally stand. This is one sit-up. The ideal session will be to have your dog repeat this sequence of moves a total of ten times, but at first you may only be able to get him to cooperate for one or two. That is fine. Every few days add an additional turn before he gets his treat until he is doing the full ten.
This exercise reinforces the basic commands of sit, down and stay. If your dog has yet to learn these commands, you will have to work on them at the same time. This allows you to accomplish two things at the same time. Keep in mind, however, that trying to learn a new command is tiring in itself. Adjust the number of sit-ups accordingly or you are bound to have a very frustrated dog.
Dogs love to feel they have made their people happy. Allowing your dog to combine some of the simplest commands into your play session will make him feel he has accomplished this task and he will be all the more eager to do whatever else you have in store for him during this time.