I have kept pygmy goats for a number of years, but have always had the larger breeds as well. Pygmy goats may be small, but they are able to jump as good as - if not better than bigger goats. When we went to pick up some pygmy females we were buying they were in a horse stable. One came right over the stable door with ease !! I have found that sheep netting with two strands of barbed wire on top holds them in, but if there is a slack bit of fencing, they are small enough to crawl under - likewise if your gate sits a bit high and there is a gap at the bottom, so thats something to think about.
Also, if they find a weak bit in the stock netting, they will push until they have it loose enough to climb over.
Fencing is expensive, but you will have to see how yours are - they may not be escapists if they have grass to go at.