We did go to Petsmart obedience training and were very pleased with the results. We had an excellent trainer though, and from what I hear some are not as good as ours was. But, definitely obedience classes should help your naughty boy
Please be sure to use a harness, not a collar and lead. The trainer most likely will want you to use a collar, but don't - with yorkies collars can injure their trachea's.