Be Consistent and Firm
Your puppy needs to know that you mean it when you tell him to stop chewing. Use the "no" command, and perhaps a spray bottle as well to distract his attention, and firmly take the item away. Do not let it turn into a game of tug-a-war, or chase your puppy to retrieve the item. He interprets these actions as a game, and will be thrilled to play for hours. Also, follow the same procedure every time and never get lazy and let the puppy have the item. You have to be consistent.
Have Acceptable Chew Toys on Hand
Even if you take an inappropriate item away, your puppy will still have a chewing desire. Focus his chewing energies towards appropriate items like hard rubber toys or bones. Bones are especially great because they aid doggy dental health, but be careful not to feed your pup chicken or pork bones as they splinter easily.
Exercise
Sometimes dogs chew because they are bored or have an excess of energy. Release this energy by taking a walk or playing with your dog. This way when he comes inside he will be too tired to exhibit destructive behaviors.
Keep Your Puppy Confined When Gone
Allowing your puppy free reign of your house is as good as giving him the keys and telling him the place is his. Keep your puppy in a pen or crate when you are gone. Not only will this prevent accidents or chewing, but it will also make him feel more secure while you are out of the house.
Puppy chewing is inevitable, but it should be short lived. By being a firm leader you can direct your puppy towards better chewing, and save yourself pain and money in the process.