Help with a 4 yr old Welsh Section D Cob?

Hi. I have been riding a 4 yr old cob since Nov 08. He is gorgeous, very sweet natured, willing, honest with lovely paces. He had been lightly backed when I came along. All he had done was walk and trot. He is balancing himself nicely now, hacking out and schooling when we can borrow the school. (He is on loan 2 me - I am the only 1 riding him. Mine got put down last yr and due 2 current climate, I can't afford another yet - however I doubt I will now as i'm in love) He has started to balance himself in canter, and we have done a couple of poles, which was no problem for him. The only thing is he is quite spooky. Never does anything nasty, just needs reurance. (He goes out on his own, but he is happy to do so) Little things like bags freak him. Just stops and stares for a bit!! LOL! I no he is young and inexperienced, but how can I densensitive him and make each bad experience as peaceful as possible so he is settled later in life? He tends to be ok once he has seen something once. PLEASE ONLY SENSIBLE ANSWERS. I am an exp rider and just want genuine ideas, Thank you xxx