I agree that the soft cloth kind are the best. Hard plastic can erode teeth pretty quickly.
Whenever you try to teach a dog to fetch something, I find it's best to get them playing with it while you're holding it. Get them really worked up over the toy, then quickly toss it. Praise them when they get it, then clap your hands and move backwards or bend over to encourage them to bring it to you. Don't play tug if it's not something you want to do every time! If he won't give it up, pretend you don't care and walk away. Eventually he'll drop it. Put him on a sit/stay, pick up the toy, and start over. Once you've got him fetching it, it's just a little more practice time to catching it out of the air. Try to throw it low (across his natural field of vision) and slightly to one side. He should have to turn to catch it. This will stimulate his chasing instinct and keep you from accidentally bonking the frisbee off his head!