Most people use harnesses on their yorkies because they have very delicate tracheas that can easily collapse from the pressure put on them by a leash. Also, harnesses are good because they allow you to pick them up easier if they get into some kind of danger. Some people don't use collars at all (they can get caught on things and easily choke your baby) and most use them just for their tags. Try the harness to help them walk. I can't guarantee that they will work, but I just ordered one because I was having the same problem and that was everyone's recommendation to me. There is another thread on this forum that might be more help
http://www.yorkietalk.com/forums/showthread.php?t=7257 .