Welcome to Yorkie Talk and congratulations on your new puppy.
If you are using human baby shampoo, it can be very drying. Pick up a good puppy tearless shampoo and conditioner. Always rinse everything very well as suggested above. I also agree with checking for flea bites to make sure he doesn't have fleas.
Marking -- he is an early starter! Limit his roaming space to an xpen or very small room when you can't supervise closely and while potty training. You don't want to rely too much on the belly band because it will hinder training. I would also check with your vet to make sure he doesn't have a urinary track infection.
Separation anxiety -- work on establishing keywords and phrases and practice leaving for short intervals. Say, "I'll be right back" and leave for 5 minutes. Gradually increase the time you leave and change the phrase to indicate the length of time. How long are you leaving him?
Treats -- I recommend setting the bar low for treats and saving higher value ones for training. We used mostly kibble, a tiny bit of plain yogurt, steamed plain chicken breast. I'm not a fan of store bought treats because of all of the problems and recalls. Just make sure to review the list of foods that are toxic and dangerous for dogs.
__________________ Kristin, Max and Teddy |