I can't address training specifically for agility, but my experience in training my Maltese rescue to be a service dog was that Malteses train exactly like any other dog. We began with basic training classes with AKC and then with a private trainer, but in each case, there was no special technique for her as a Maltese. They're utterly adorable but just dogs and learn like other dogs. They may learn even faster because they have focus and respond so quickly to positive training.
When Hope had her very first obedience class, she was one of ten in the class: nine black labs, one big dark German Shepherd and her. She looked like a tiny cotton ball with all those big critters. She excelled and learned everything faster and better getting the same training as all the others. The trainers all said she was so smart she was scary, so just train away and love your little guy.