My little guy also has what I know know to be sebateous cysts, which I am told may be caused by ingrown hairs? They sometimes stay relatively small and other times they grow bigger.
Our vet drains them only when they get large. While combing him I did accidently burst one but after a quick trip to the vet it was treated with an antibiotic and a few small stitches. From what I gather, it is common in Yorkies and I too have been told to just watch them. Wish there where a treatment for them....