My yorkie is completely in love with me and wont let me out of her site and I am pretty sure its becasue every minute of the day we are with each other. I sort of of spoil her and shower her with attention and she is so atached to me its pretty bad. She freaks out the minute I leave the room. BUt anyways its not something that I think you can force on a dog as they all have different personalities. I dont think that leashing him to her is goign to be very helpful. As a puppy, yorkies, like any other breed are just going to be playful and adventurous so right now he may not want to cling to her side and she shouldnt take that personally or think that he may never be "clingy". Just give him lots of attention and in a few months he will always want to be around her after he gets a little older.
Chloe seemed to bond to daddy her first year but now she 100% momma's girl