AbbysMom08 is right, some yorkies can be very hard to train. Based on what people say here, I wouldn't expect him to be trained until six months, and maybe not until one year. Thor is almost three years old, but he came to me un-potty trained, and training him was seriously one of the hardest things I've ever done. It took weeks of constant vigilance, and several times he peed right in front of me and I didn't even realize what was happening!
That being said, many dogs do prefer to go indoors, for the same reason people like to - they want comfort and privacy. It sounds like you need to restrict your pup's movement more until he can be trusted. Do you have a crate or an xpen? I did not want to crate train Thor, but I am a 100% convert now. I believe this is the best way to train a difficult dog.
If he goes in the house after a long walk, don't give him that chance - carry him from your front door step to his crate. If he's not sleeping, outside, or in his crate, you must be watching him with BOTH eyes.
Good luck! Don't worry, you two will get there.
