Bender had a big problem with this as well. He is always ready to go at it with his big stuffed Brain (the mouse). What we did with him was train him that it was bad to do when others were watching. It was rather embarassing when he would start humping the mouse around company. After about 3 months of coaxing him not to do it around people, he got the hang of it. He still begins humping the mouse every now and again (once a month or so) but we just say his name and look at him with a disappointed look, and he drags the mouse into another room. He still licks himself, but not during the day. I catch him at it at night when I get up to use the restroom or some such thing.
So, my suggestion: try training. My mother has two male yorkies and they are both neutered and still have nothing better to do than lick themselves all day long.
~LeAnn