Congratulations on getting your little Yorkie. As suggested above, it will take time, but you need to be very careful. I have a 3 lb. Yorkie that I never leave alone with the kitty. Missy Cat stalks her like a mouse. I have a 5 lb. Yorkie that loves to play with the kitty (10 lbs.) but I also won't leave them alone. I've seen Missy Cat do a body slam on Chipper.
When I first got Chipper it was Missy Cat's goal to kill him. Eventually they have become friends, but I still am very careful. I have tall gates at various places in the house that keep the kitty separated from the doggies when need be. If you need to keep the kitty out of an ex-pen you can take a sheet and pin it over the top. I put the safety pins fairly close together. Keeps the kitty from jumping in. Obviously, others will have different experiences. Good luck.
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Joanne
Eli
Chipper
Eva
Snowboy
Rosie(R.I.P. 1996-July 29, 2013)
Cocoa(R.I.P 1998-April 26, 2012):