Like all kids, babies need limits to learn what they can and can't do. Once your baby's more active and aware of his surroundings — at around 6 months — it's good to start gently setting limits for him. Here's how:
Say "no," but only if the situation is urgent. If he's tugging on the dog's tail, for instance. Otherwise, the word will lose its power.
Explain, briefly, what isn't allowed. He'll understand your tone, if not your words (and soon enough will get their meaning, too).
Distract and redirect him. If he's throwing food from his high chair, for instance, take him out and give him a foam ball or other acceptable substitute to toss.
Don't use punishment. Your baby can't make the connection between actions and consequences yet, so it won't teach him anything. Since he can't think logically yet, be consistent to help him understand rules as he grows.