We took Bentley to obedience classes right when we got him at 16 weeks. It is recommended that you start early (12 weeks is ideal) as it is easier for them to learn before they get set in their ways. The classes helped us a lot. Bentley learned to sit, lay down, stay, come, and walk on a loose leash (although we are still working on that). They also give you good tips on biting, housebreaking, and dominance issues. I highly reccommend classes as a good way to learn a lot of great information. You will be surprised at how quickly little yorkies catch on, they are very smart
One day in our class the instructor had the owners walk around and tell all of the other dogs to sit. It was funny to watch people walk up to Bentley. They all had very low expectations as most of them had labs and Bentley is so tiny. They were very shocked when Bentley would sit as soon as they told him to. It was very cute (they then had to break their huge lab-sized treat into a small piece to give to him)
You need to be very careful about the trainer you use. Anyone that would suggest using a pinch collar on a yorkie would not be a good teacher, I would leave immediately. All small dogs had regular collars at our class. You should definitely ask around (friends, vet, etc) before choosing a class. You can also go and sit in on a class before enrolling. Our class used the clicker method which I found to help make the training go faster. Definitely do your research as there are a lot of methods of teaching that aren't the best. We first started with a class where their method of training a dog to walk on a leash was to tug the leash every time the dog left your side. This is very hard on a yorkie's neck. We left that class and enrolled in another class that had better techniques. Good luck with your search! It's worth it when you find the right instructor!