Roxi had very curly and thick hair when we first got her. I was a little worried too, but now that she is a little older it has went to completely straight. it has thinned out too. Maybe you should try taking her to the groomer and see if that helps. It did wonders for roxis doo!I will try to post a pic of her before and after groomer miracle!
Here she is at 15 weeks old...see how she gets the curly greasy looking hair when she needs a bath.
http://www.yorkietalk.com/forums/showthread.php?t=34281