First, let me say I love the name Henry! That's what I'd call a lil boy yorkie if I ever got one
Are you trying to outdoor train or indoor pad train Henry?
If outdoor, then I'd definately go with a crate...a very small crate that is just big enough for him to stand up and turn around in. ZoE's first puppy crate was 18in.L x 12in.W x 14in.H. (She is now full grown & has a slightly larger one) Most crates come with an extra panel to insert inside the crate to make it smaller for puppies, then you remove it as the dog grows to give them more room....this saves you buying multiple crates.
If indoor pad training, I'd recommend a playpen over a crate. Inside the playpen, you have room for a bed, food, water, and a potty pad area. Puppies don't like to eliminate where they sleep, so he'll want to use any area other than is bed to go potty. By lining the floor of the playpen with potty pads, he'll get used to going on them (and hopefully praised for doing so). Then when you open the playpen or remove it completely, he's used to going on the pads and knows what they are meant for.
Congratulations on your new puppy. Looking forward to seeing photos of Henry