First, don't give up yet. You are receiving some really good advice here, and as the previous poster mentioned, the horror stories don't paint the real picture.
I've got two yorkies and both are completely housetrained. One does wear belly bands because of neurological damage that has left him with a bit of a "drip", but that's not purposeful. So I have LOTS of experience with belly bands. You may have already purchased from PetSmart, but I rec. you order a few from one of the great ladies on this site. I can personally recommend several, send me a pm if you are interested. The PetSmart bands are okay in a pinch, but you want something that fits right and will last. Otherwise the pee has a way of sneaking out.
Stay away from the "diapers". Most are made for females, and lets face it, things are not in the same place as on males. Diapers will fall short of their mark.
Good luck!