I have three yorkies as well, they range from 13 lbs to 8 lbs and 4 lbs. Almost always it's the little one that gives a hard time to the other two unless the other two gang up on him and they only do that when they've had enough of being pestered. It's never a dull moment...
I sometimes have to intervene and tell them to cool it but usually it's all good fun. The picture in my avatar is good example of how well they get along