i agree with vainchick. get an expen and place him in it so he can get used to the cats being around. or baby gate him in one room like the kitchen. this way the cats have free roam but he doesn't. he needs to learn that this is their house, not his yet and he needs to play by their rules.
also, if he's not too too tiny of a yorkie you can get a training collar or a 'zapper' that makes a 'negative' sound when you push a button. the negative sound will be associated with him chasing the cats and it will teach him that chasing the cats is not acceptable.
http://www.radiofence.com/ultrasonic_trainer.htm