Hello.
Congratulations on having your first Yorkie. I cannot answer your question about using collar, because I honestly don't know the pros and cons. The way we are teaching Mia is, first my husband and I sat on each end of a narrow hall-way, and put Mia in the middle. We both had treats in our hands. We took turns calling Mia, and whenever she came right away, we praised her and gave her a treat. When she is on a leash outside, in the middle of her playing, we call her to us. When she comes right away, she gets praised and also gets a treat.
When we are home Mia always comes when called. Outside, however, she completely ignored us at first, but now she comes running most of the time because she knows she will get yum yum treats. Eventually we will switch to just praising. It seems to be working out fine, but I cannot tell you how effective this method is since Mia is 13 weeks today
We got her when she was 9 weeks and started teaching her to come within a week.
Good luck!!