I use the Yorkie Splash and Shine products. They are all natural. Most regular dog shampoos contain sulfates and other chemicals that dry the skin. I bathe Gracie weekly and we never have dry skin issues.
Yorkie Splash and Yorkie Shine | Yorkie Shampoo and Yorkie Conditioner
A high grade food that contains Omega3's is also important. If your food does not have any Omega's in it you might want to get a supplement.
There are several other good quality all natural products for dogs out there like Isle of Dogs and Bio Groom, Pet Head and several others. I love the scent of the YSS products though and she has a great shiny coat with them.