With pygmy's, they are shown in "exotics" for 4H, so like your kids could be showing against a llama for example.. they aren't considered dairy.
I might try to find babies if I were you....bottle babies might be best. With buying adults you always have to take in to consideration that their old owners may have taught them bad habits, you don't know if they've been mistreated, and a lot of times they won't be super friendly. If you start with babies you can get them used to you and friendly and you don't have to worry about bad habits from previous homes.