It's OK, I don't think it hurts them much. If you spot some teeth save them for a Yorkie memory book. Just watch his teeth...if they start to overlap bring him to a vet to have the baby teeth removed. Otherwise his bite maybe compromised. ( Basically watch his mouth...you should be able to know the baby teeth from the adult teeth, sometimes the vet can't tell. )
I'm telling you from experience. Chibimaru's baby teeth weren't removed in time and now his upper and lower teeth scape each other when he bites. But it isn't serious, just unpleasant for him...we can imagine.