Yorkies are not supposed to have undercoats so you will find the fur quite a bit different than most dogs. A Yorkie with a silky coat will many times have a "thin" coat and that is natural for a Yorkie. It is also the reason that they tend to get cold very easily. I know some people object to putting clothing on a dog but some dogs do need the added insulation. I do not suggest putting clothing on a puppy but it may be something your baby will need in the future when the weather get colder.
I'm sure a good supplement would not be a bad idea as long as you give the proper amount for the pup's size. Genetics have much to do with the coat so do not expect miracles. A supplement will help maintain healthy skin that supports a healthy coat. Of course keep your pet free of all fleas. Fleas can torment your pet and cause damage to it's coat.
I have used "The Missing Link" for Gracie and it is a good one containing all the omega 3's. It is also contains added enzymes that many kibble eating dog's miss out on.
The Missing Link Ultimate Skin & Coat Supplement For Dogs at PETCO