I walk my westie twice a day and he is obsessed with sniffing other dogs wee he even looks round for damp patches!!!Whilst walking around the neighbourhood I notice other dogs sniff but not for ages like he does.I let him sniff for a bit and then pull him away but he claws to try to get back to the scent. Am I dealing with this right? The other day I even landed up shouting "For goodness sake do you expect me to stand here in the cold whilst you sniff wee..."
How do I deal with this? Or even better how do I stop himfrom doing it?

Keep on walking and don't allow him to sniff until and unless he is off the lead!

It is just territorial, he is "reading" the urine to find out who has been there before leaving his own scent.  One of my bugbears, watching people allowing their dogs to haul them from lampost to lampost or garden gate to garden gate and allow them to sniff and deposit. Sure they would be very unimpressed if my OH came round unzipped their flies and watered THEIR fence! 

Completely unecessary, bad manners and pointless shouting at him unless of course he fully understands what you are saying :D

Just don't allow him to stop; simple!