We had the same problem with Emma, and tried to stick to our guns. Then we started letting her sleep with us on weekends, as a special "treat", but then she wanted to all the time. Since she was about 5-6 months old, she's been sleeping in our bed. Nothing like being a newlywed and having a yorkie in bed with you!!!
 
When we brought Milli home, we IMMEDIATELY put her in the crate in the car. She sees that as her "safe" place, and so she sleeps in there, next to the bed. If she whines, I can stick my fingers through the holes and comfort her, and if she needs to potty, I get up, put the crate in the pen in our room, and open the door. That way, she can get up and potty on the pad, and she'll either go back to sleep in her crate or in the fuzzy bed in the pen. I don't really want another yorkie in bed with us, plus Emma won't really tolerate it unless she's REALLY tired. She thinks the bed is HER domain 
