I love the blue and yellow combination for a bedroom. I like the bedding you picked out but since your walls are yellow...I worry that it would be too much yellow...you might think about more of a blue dominated set which I think would look great against your yellow walls...you could add in some other yellow accents (toss pillows, vase or candle) in to tie everything together...
I use to have the blue, yellow, and white theme. It's very clean and fresh looking. I gave my bedroom a makeover with some of my summer job money before my senior year of highschool. And I still have those Martha Stewart bed linens, they held up well since they still look brand new.
Anyways, I agree with picking bedding that is blue. I like this one: