WELCOME TO YORKIETALK!!!! Wow, long post. I'll try to answer as best as I can.
1. Your baby is still a puppy. I'm guessing he's around 4 months old. Try to find a top rated kibble, as usually the kibble people make wet food too. Start with wet and then add in dry. Try to transition him slowly. Some can be fussy eaters and they have likes and dislikes just like we do. My boy loves his chicken flavored kibble but gives me the stink eye if I try to feed him lamb. Same brand and everything, it's just his preference. Since Cookie's still small, he's in greater danger of going into hypoglycemic shock, so just in case, have nutrical on hand. You can find that at any pet store.
2. I have no tips for that one. If you suspect worms, talk to your vet.
3. The key for potty training is patience. Cookie is still very young, and he's a yorkie, meaning some are more stubborn than others. It sounds like your doing all the right things. Just keep going what your doing, just change one thing. If you didn't see him squat to poop in the wrong place, or he peed, don't scold him. He won't connect the act with the scolding. Same for praise. If you didn't see him do it, it's not effective. He'll just think your moody.
Watch him like a hawk so you can catch the good and the bad. When you do catch him going in the wrong place, use a correction, take him to the pad, and then give the potty command. Ex. I use double clap and a firm "No" as my correction, and my potty commands are "go pee pee/poopy." If your consistent, they learn what these things mean.
4. It could be linked to hypoglycemia, it could be hes nervous, or he's cold. You'll eventually learn to tell the difference. They'll "talk to you" in their own way. To rule out being cold, a member here told me to check the inside of their ears, not the ear canal but the floopy part, if it's cold he's probably cold. My boy is a fearful one so I know when he shakes in fear, and when he's cold. If it's fear, don't pick him up and cuddle him. You are reinforcing the fear reaction and you're teaching him it's ok to be scared of whatever he's scared of.
5. If you really don't want him to sleep with you, keep ignoring him. Put him in his crate if that's what you use, or an expen. Keep him in the same room that you're in, but he'll probably cry and cry. Don't give in, or you'll end up like me. Kaji sleeps curled up in a little ball as close to me as possible. I love it!!