Nan, Sheena may have only been six weeks old when you found her, but that doesn’t mean her memory banks aren’t functioning! When a kitten is weaned, that’s about the time they start to go into developmental overdrive. Much as a typical toddler starts picking up on all kinds of things very quickly (language, numbers, colors, letters), kittens are at a comparable point in their lives.
Most things they see and experience between 4 weeks and 4 months makes an impression, especially if they were raised feral. This is good for feral kittens, though. Once they become ambulatory, there are all kinds of new risks to their survival, so remembering stuff and learning stuff becomes pretty important.
Please be patient with Sheena. She may have had a rough start, but plenty of patience, routine, and other trust-building exercises will help her become even friendlier – even if she never likes being picked up or restrained. (Some cats just don’t.) Just the fact that she’s working on getting used to the dogs (a natural predator) and sitting in your lap tells me that she’s already made great strides in learning to trust you.
If I were you, I wouldn’t work on getting her used to being held; I’d focus more on getting her to like being petted (scritched chin, ear rubs, or back strokes). Also, part of this is natural kittenness; they seem to go through a ZOOM stage, where they just don’t like holding still at all!