I used ham as the top value treat for our Gold KC training and my boy can now hear a packet being opened from a 1000 yards!! I found it was a bit 'wet' to use too often and it wasn't easy to put in my pocket either.
The most effective thing for me was to provide a box of small treats of different varieties - that way they all smelled good, and my boy didn't know what to expect next.
Home made liver/tuna cake is great (lots of recipes on CD lately), I also used any left over cooked meat but would leave it to air dry overnight to stop it being too soggy, salami sausage stuff from Pets at Home (probably not very healthy in big quantities but he loves it and it's quite strong smelling too), a few plainish mixer biscuits, cheese (again air dried for easier handling and more chewy), and a variety of commercial treats (choose ones soft enough to cut into smaller pieces).
I needed meaty type treats for actual in class training but also use veg at home for rewards. Mine both love carrot but not quite enough to do the serious exercises for!!
Most of the commercially available training treats are quite rich so do be careful about quantities, keep them trimmed to tiny size. My boy is probably 3 times the size of your Westie and I used pea size treats - it just made him work harder for the bonus ones when I gave a few at a time

Don't forget to adjust his meal quantities to compensate and if you train before feeding you'll get away with lower value treats

HTH
Kindness is the language which the deaf can hear and the blind can see ~Mark Twain