Mojo is a very picky eater and the best treats I found for him and for training are Yorkie Yummies from Cindy (chattiesmom). They are already small little pieces (which no worry about swallowing them because they will crunch them and savor every bit of it)...and are convenient too! 
 
I tried Cheerios, but found that they got damp and got caught in Mojo's hair around his mouth....YUCK. I did like them, but Yorkie Yummies are now are training (and every day) treat. 
Here is her link for Yorkie Yummies: 
http://www.yorkietalk.com/forums/showthread.php?t=84545