Hi to you Karen and your little boy Rocky.  (love the name)....I will be the first to admit I am NO EXPERT but I will try to give you what advise I can on your little one.
 
Right now he is so little bitty and young.  Give him time and most likely he will cuddle with you for longer periods.  Right now the world is all new to him and he wants to go explore it all. 
When you are playing or cuddleing with him and he begins to bite or do a behavior you do not approve of, ignore him.  Walk away from him.  He will soon realize "heah, wait Mom and Dad where ya going?"  Soon he will figure out that it is his bad behavior that is stopping his attention getting.  
 
  
Also crate training works wonders.  It gives them security and comfort when they are due for some quiet time.   
I am thrilled that you found us.  We all here love this site and enjoy hearing stories of everybody's Yorkies and share pictures.  If you have some pictures you'd like to share of Rocky please do so. 
