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It's important to give your Cavalier new experiences, especially while he's still very young (before 18 weeks old). He'll consider the new sights and sounds to be normal which can help build his confidence. This socialization will also prevent over-anxious behavior as he gets older. Make sure your Cavalier meets a wide range of people, dogs, and experiences. You can take your dog to a socialization class run by your vet or a reputable trainer in the area. Train your Cavalier in small doses and often. Keep the sessions to five minutes at a time and do them three times a day. Your dog will respond better to this than if you do one long half-hour session. Choose a time when your dog isn't hungry or tired, so he pays attention. Stop the session if he looses interest. Always try to end on a positive note, with a command you know your dog can do. Use a clicker to teach your dog to associate a click-clack sound with receiving a reward when he obeys a command. Practice by throwing a treat on the floor and let your Cavalier eat it. As soon as he goes to the treat, press the clicker. Repeat this till he associates the click-clack sound with looking for a treat. Start giving commands and when he obeys, press the clicker as his reward. For example, when your Cavalier toilets outside, immediately press the clicker so he knows he's being rewarded for toileting in the right place. When you use the clicker training, always start with a verbal command word. For example, say "Sit" and click once he follows the command. Once he's comfortable following verbal commands with the clicker reward, stop using the clicker, but continue to use verbal commands. For example, you could run a few steps away from your Cavalier while slapping your leg and calling his name. He'll instinctively want to keep close to you, so this is good practice in responding to his name. Your Cavalier will only associate punishment with you instead of the action you dislike. This can damage your relationship, actually making it harder to train him. Instead, use positive reinforcement with verbal praise and rewards like treats or exercise.  If your dog misbehaves, you can firmly say "No." Avoid giving him a lot of attention or telling him off. Any attention is a reward for your dog. If your Cavalier grabs something he shouldn't and you haven't trained him to give it back, distract him with a toy or some food. Take the object while he's distracted.
Expose your dog to others. Choose good times to train. Clicker train your dog. Use verbal commands. Never hit or yell at your dog.