How to stop JRT from Running Out the Door

We have a very cute and loveable 9mos.old JRT. They are a very high spirited dog and will run at anything that moves. Something they were in fact bred for in England (which was rats). Anyhow to get to the point, this little one Milo seems to think it quite humorous when he runs out the door and "Its catch me if you can". He will dodge you, let you think he's going to stop, everything. He knows its wrong, he understands and obeys while in the house and taking him for a walk, I am actually very amazed at how quick he caught on to commands. However if he gets out of the door there is no way in stopping him. I have inquired about an electric fence (think its a must have) only because once out of reach he's gone. Does anyone else in this group own a JRT that has had this trouble. I know scolding him only lasts 5-10min. and he has forgotten what he did so what can I do to stop this little fella from doing this if not agreeable to the fencing? Any help would be much appreciated.