I havent given my yorkie a supplement yet but do know that the dry food I'am given him now the ingredients contain flaxseed oil among other things for the skin and coat.
I started him on natural balance ultra premium food a few days ago. It is sold at petco and a 5lb bag cost 6.99...which to me its great considering the high quality ingredients. Heres the site for it if you wanna check it out..
http://www.naturalbalanceinc.com/products/UltDog.html