what general area are you in? There's a small shop in Bei Chen a couple minutes walk from Metro that I go to every once in a while. Not sure the road name, but it's around the corner from the Silver Spoon Cafe on that main road. EDIT: to hopefully make that more clear, it's on the same road as Metro, on the other side of Beijing Da Dao. Walking from Metro it's a ways up on the left, just before the walking street that has the Silver Spoon and the Prague Cafe. (sorry my directions are so confusing!)
Near the Wen Hua Xiang area, there's a shop on a small road that runs parallel to Jian She Lu as it goes down the hill toward Xiao Ximen - if you're walking on Wen Lin Jie, going away from Salvador's toward Jian She Lu, cross at the traffic light and continue on the same road (I think it's name changes there though). Walk down the first road on your left, and the LYS is a little way down on the right. (sorry - I do directions by landmark).
And if you want lots and lots of choices, there's always the yarn section down in the Lou Si Wan in/near Cheng Gong - if you're taking the bus, the 170 and the 212 go from different places in the city and stop next to the Lou Si Wan — soooo many little yarn shops all in the one section.