I'm having the exact same problem with my Gizmo, hes 16 weeks old, weve had him for 2 weeks now.
Here's the link to the thread i started....
http://www.yorkietalk.com/forums/showthread.php?t=72742
Not sure if it will help at all, cuz im still at a loss for what to do. He's like a little devil, doing what he wants. I LOVE him to death, hes so cute, so hes gettin away with it for now..but i gota eventually show him IM ALPHA, haha.
Good luck and let me know if you figure anything out!