I've heard threading the lead through a pvc pipe to keep it right down at your side can help. Also trying a Halti head collar that leads the nose. If they pull their nose turns them the opposite way they were going. The problem with these is that no brand makes them small enough for a yorkie, esp a puppy! I bought the xs for Uni it is was way too big! I found the harnesses with the d ring in the front did us no good either.
What I've come to accept from Uni is that it's just part of her quirk. I swtiched to a retractable lead (which was the one thing you are not supposed to do, bc it rewards pullers with what they want, getting further and faster) but it works ok for us. She stops screaming, and I don't get embarrassed. She feels like she not even on a lead, so her attitude is different than when she's on a regular lead.
However, what you are doing is correct in what we are "supposed" to do when they pull. Put him in a sit and wait until he calms down until you go again. This did not work with Uni either, as she listens to commands, but also barks incessantly at the top of her lungs, as if telling me "OK MOM I'M SITTING, NOW LET'S GO! LET'S GO! LET'S GO! MOM! MOM! MOM! I'M SITTING! SITTING! SITTING! OKOKOKOK!!!"
Keep trying, and keep trying with one method for a few months before you try another. I think that is an important thing to remember that many people give up before the dog really had a chance to "get it", then introducing a new method, thus further confusing the dog. good luck.
