Loki used to be really bad about this, but we luckily have an awesome trainer who gave us similar advice to First Yorkie's. Anyway, Loki's 2 now and he rarely steals stuff. If he does, he also is doing it to get attention. Exercise and training helps big time, especially since he knows "leave it" and if he approaches something I don't want him to take I just say "leave it" Otherwise I just let him steal it (usually paper) and have some run "killing" it and then he just drops it and walks away. If he persists in stealing stuff I usually wait until he is being good (so I don't reward him for stealing) and then try to play fetch with him and do some training "homework" If I am busy (and that's why he's not getting attention) I go get a Kong or a new Bully Stick and that keeps him busy. Sometimes just a walk or 15 minutes of attention is enough to stop his attention seeking behavior.
And yes, while training to leave or drop things does increase the stealing at first - since trading gets a treat - but wouldn't you rather he steal things and then drop them for a treat than run outside? Loki used to pick up my socks and drop them at my feet for a treat
The other part of it is learning to pick up your stuff! Yorkies are short so we have no excuse with food since Yorkies tend not to be counter surfers. I have many many laundry baskets and we always put our clothes IN the basket so Loki can't steal the stuff. All the trash cans are either covered or too high for him. He luckily never took our shoes so we leave those out, but that's about it. We just keep things put away. I know when we have kids that he's going to love stealing binkies though!!