The problem is that whenever you add dairy products in cooking, it is the fat which holds everything together and makes it thicken. For instance, you can boil double cream down for ages and it won't split. The less fat there is, the more likely the sauce is to split. Jaylou's advice is right - the contents of the pan need to be well off the boil, and the yogurt at room temperature. Even then it is a bit risky and you need to be careful.