You should be able to give him a separate set of rules. The only issue could come if you are sitting on the couch, petting and snuggling with the chihuahua, and totally ignoring your shepherd. As long as you are sure not to do that, there is no problem. My friend has a Sheltie and a GSD, and he has different rules for the two of them, and it has worked out fine. Again, the key is to not exclude or inadvertently punish your Shepherd with these rules.