I'm guessing your yorkie is still a pup so it sounds like he is just being playful. My boy is one and when he's excited about going out he'll try to bite his harness. I just say "no" and continue what I'm doing. Kaji does wear a collar, but that's just for his tags. Taking Snickers to Petco or Petsmart and get a harness that's the right size for him is a good idea.
__________________ Littlest JakJak 
We miss you Kaji 
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