I wouldn't vacuum the Yorkies, but I DO vacuum Boo the Boxer and she absolutely loves it. When she was a pup, I couldn't get the vacuum out without giving her a once over
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She was obsessed with the vacuum cleaner.
We also vacuum the horses. In fact, during the days that I was raising/training miniatures to drive, one of the things that I always did was to train them to accept the vacuum all over their bodies - except the head.