I guarantee you'll get a lot of response on this subject! I'm going to put mine in and go away
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The primary issue, as I understand it, is a serious one. It is the propensity among Yorkies to have problems with collapsed tracheas. Pressure on their little throats is potentially dangerous.
We had a couple of close calls with Bailey darting out the door as someone was coming in or going out, so we decided she needed to have a name tag on all of the time. Thus, we keep a collar on her with her name tag and our phone number.
When we had her on a leash, we would put a halter on her. I learned something interesting one day when I needed to let her down to potty and didn't have a harness with me. With a harness, she often pulled against the leash - generally not behaving as she should. That day, with a collar, she didn't pull at all. She behaved like a little lady. With even the tiniest tug on the leash, she would back off and come back closer to me. I've since taken her for walks using a collar (not all of the time, but once in a while) and she consistently behaves impeccably with a collar - and a little bit on the rowdy side with a harness. Based on the behavior of OUR dog - I'm really torn. I guess that's why I'm still going back and forth between collar and harness when Bailey's on a leash.