I am currently struggling with training a GP pup (6 months) to STOP PLAYING WITH THE SHEEP!
He's good arond the horned ones, who butt him when he gets up to his playful nonsense, but the polled ones are half nekkid having lost fleece from his tugging, and my ram has a nasty bite wound that's just now healing up.
My advice: have a muzzle that fits your pup at home, and ready to be put on him if he starts getting rambunctious.
He may bond to them right away, and decide they are his best friends. This is great until he decides they are his packmates and ought to be able to play like his puppy friends would! If the goats will put him in his place, you're ok - but baby pygmy vs GP pup doesn't sound like a fair match to me. Make sure you can fence them apart from one another (my GP is a shapeshifter and gets through/over/around any fence I've built so far) or have that muzzle ready, just in case.
They will outgrow the desire to play with the livestock, but while they are still in the throes of adolescent stupidity, it's best to ensure they can do no harm in case their playfulness gets the better of them.
You may get other advice, please know I'm a total rookie at this, but I have done tons of research and this is my best option at the moment. YMMV.
Good luck and enjoy the goats!