I'd say yes, small ones (for any sized goat!)
There are various choices - straight ones, buttons etc. The most common I've seen on pygmies are the small round button ones. (but then, I dont keep pygmies!)
personally, though I totally agree with the need to identify.. I hate ear tags as they can cause so much damage to their ears. (Microchips would get my vote) So I opt for the smallest & either white or dark - depending on the colour of the goat
... The twins here were tagged when they were disbudded by the vets & so were doped up. Best thing all round, though they were obviously done by two different people, or someone practicing, as they are done slightly differently!