Badger's too small for most puppy harnesses but I have managed to find a very little one for him which I've started getting him used to. We started walking him on a collar but I've never been happy about it because even at his size, he'll still pull on it and I worry about his neck. The problem with collars is if you don't watch them, they'll try and do that jaw thing you're talking about and I've had to get him out of it twice before now - both times I'd just turned my back for a minute and didn't realise he'd gotten his jaw into the collar. I wouldn't worry about him. If he had a serious injury you would definitely have known by now because that kind of pain he'd definitely be vocal about
The other great thing about harnesses.... a quick way to pull your yorkie up if he's ever being threatened by another dog
(a collar would just break it's neck under those sorts of quick circumstances)