What type of coat does your pup have? One of my girls has a silky coat and I have to brush her at least daily. I usually brush in the morning and at night. I use the madan brush as recommended above. I purchased from toplinepet.com. Also, are you using a detangler? I like Yorkie Sheen.
Yorkie Sheen - Yorkshire Terrier Detangler / Coat Conditioner
A good shampoo and conditioner helps as well. And as Dawn27 said regular bathing.