It is very common in Yorkies to retain baby teeth.
I don't think they have to be removed immediately but if they don't come out soon, it should be done.
Are you sure you don't want to spay her though?
There are risks and benefits to it but below is one of the major benefits.
Besides, then you don't have to worry about c-sections, raising pups, making sure your pup conforms to the standard, testing for genetic diseases and possibly dealing with pyometra later on. Whatever you decide, I would take care of her mouth (whether that means pulling baby teeth, brushing everyday...) now so she doesn't have to deal with periodontal disease later.
Protection from Spaying
A female puppy spayed before her first heat cycle can expect never to develop a mammary tumor of any kind. The incidence of tumor development in this group is nearly zero.
If she is allowed to experience one heat cycle before spaying, the incidence rises to 7% (still quite low).
If she is allowed to experience more than one heat cycle, the risk is driven up to one in four.
Mammary Tumors in Dogs - VeterinaryPartner.com - a VIN company!