I really like the Red Barn Dog Food Roll. You cut it into the size pieces you want, they're soft but not mushy and hold their shape really well. Much more bang for your buck, decent ingredients, and are nice smelly high value treats. My dog is very fickle about taking food, especially outside or in a stressful environment, but this usually does the trick.
Got a new dog in a similar situation to you as last year and had many of the same questions. Here's my thoughts:
Dog food rolls, easily one of my dogs highest value treats and stupidly cheap. We get the chicken liver kind off amazon and a 4 lb roll is probably like 2,000 ish pencil eraser sized treats. My trainer recommends them since they are so cheap.
I had a picky treater myself so I tried just about anything under the sun. Well least at the beginning, now she'll work for broccoli.
Dog food rolls are these things
http://www.amazon.com/Redbarn-Pet-Products-Beef-Food/dp/B00008DFOG
There are a bunch of different brand names but it's just this big roll of semi-wet dog food. You just cut like 1/4" off the end, chop it in tiny pieces and use it for training treats. Keep the rest of the roll refrigerated. They are kind of like puppy crack and really cheap for the number of treats you get.