We recently adopted a dog that was way too thin....2 lbs at nine months! I've got her fattened up a bit, and even the vet sd. she "wasn't TOO skinny", but she just still seems too too fragile to us, so I know where you're coming from.
These are my first yorkies, too! My younger puppy is a little tub of lard

, and we're used to how "sturdy" she feels. The entire family prefers that, and it does just seem more "healthy". I mean, I get that my older dog is "fine-boned"....but shouldn't those bones have some PADDING on them?!
But I've been wondering if it is comman for yorkies to feel so "bony" (like chis), and it's just not as visually obvious under all that hair.
At anyrate, I've had a similar "I need to fatten up my doggie" thread up in the health/diet forum.
http://www.yorkietalk.com/forums/showthread.php?t=42531
Lots of good advice and ideas there, although the primary thought seems to be feeding a quality food. But what if you can't get the dog to EAT any of it?! SIGH!!! The only thing I've found that she loves is (people!) chicken babyfood, so I mix that up with her dogfood to try to get her to eat. It's helped!