Walk Nicely on Leash
Yorkie owners aren't quite as dependent on this skill as people who own much larger dogs, but many would still like their dogs to walk without pulling. There are actually two variations of good walking on leash: formal heeling, in which the dog stays at the handler's left side, aligned with the leg, and informal walking without pulling, in which the dog can be in any position as long as the leash doesn't tighten.
Loose Leash Walking
You have to be fairly dedicated to accomplish this. Remember, behavior that is rewarded at random becomes strong, so if you sometimes reward pulling on the leash (by continuing to walk forward), you will reinforce the pulling behavior.
To eliminate pulling on the leash, stop walking as soon as the leash goes tight. Wait for the leash to go slack, whether it's because the Yorkie comes back to you, turns to look at you, or sets off in another direction. As soon as there is slack in the leash, say “Yes” to mark the behavior you want, and resume walking forward. If your Yorkie comes to you for a treat upon hearing “Yes,” give a small treat and then walk forward.
Do not jerk on the leash to get the dog to move back toward you. This will muddy your training message and make success unlikely. If you get tired of waiting for your Yorkie to put slack in the leash, say his name or make some interesting sound, and when he turns to look at you, mark and move forward.
If the leash-pulling behavior is already well established, your walks won't get anywhere very quickly for a while. You'll have to use some other method to exercise your Yorkie while you're retraining how to walk on leash.
Most people don't really care about a formal heel position, but if you want to compete in some of the dog sports, or you have some other reason for wanting your Yorkie to move in sync with you at your left side, then read on. Heeling used to be taught in a very negative manner, by yanking on a choke chain whenever the dog moved out of position. But you'll get better results, and both of you will enjoy training more, if you instead reward the position you want.
This is best done indoors, in a room large enough for you to move around freely, with the dog off leash. Clear the room of any distractions such as toys. Just walk happily around the room, keeping one eye on your Yorkie, and whenever the dog happens to appear on your left side, near your leg, say “Yes” and give a treat. Keep moving and wait for your Yorkie to move into position again. Say yes and give a treat. Keep this up for a few minutes, then quit. Have another session later in the day.
When your Yorkie is starting to stick close to your left leg, put down some distractions or move to another safe off-leash location, and do the same thing some more. When you're fairly sure that your Yorkie is going to be right there, prancing happily alongside you, start saying “Heel” before you start moving.
Practice turns and changes of speed. Tell your Yorkie to sit when you stop moving, until the sit becomes automatic. Practice on leash in the great outdoors. Before long your dog will get the idea and be able to heel consistently.