They look pretty cool but I wouldn't do all that work and spend all that money ofr something that lives for a year or a little more.
Never hear exactly of a pygmy octopus. There are some that can be kept in samller tanks. There are some that are golf ball size but one, the blue-ringed, is extremely poisonous, the other is from antarctica and of course requires VERY cold water nad I've never seen it for sale.
Ok thats all im going to say because, like the others said, I hope you skip this animal as least for now until you have a great understanding of the sw hobby. Aren't you just starting sw? Thought I read it on another thread...of so that's another reason not to.