I always let Jackson explore everything for himself. Don't act afraid for him, or nervous, or baby him... just put him out there and bring some tasty treats and let him learn how to enjoy it!! Or at least tolerate it. From a very early age (9 weeks) I encouraged Jackson to try anything... jump up on a log with confidence, swim in the pool, play in the snow. Yes it does depend dog to dog of course but I believe any one can get a Yorkie to enjoy certain things with some effort!
Good luck!!
Oh I do have jackets, etc, for the winter. Most of the time I honestly don't think he needs them. But it makes me feel better with them on, and he looks so darn cute in them!