We keep soay and castlemilk moorit with our pygmy goats and have no problems. We only have small numbers of each and we worm all of them twice a year and have no problems. The pygmies rule the sheep field and have their own house which they won't let the sheep in because it's theirs and that's it or they'll show them a thing or two
. It started as a temporary thing having the pygmies in with the sheep due to major renovation works we are still doing so they are still there one year on, and will be until the spring when they get their own field back.
It's all run smoothly so far no problems at all, everyone healthy and happy, they all mind their own business. I recon so long as you are not over-stocked and you have a good sized field (important to have space I think) where they can all create their own areas relatively in it, it should be fine. We tend to feed the pygmies in their own shed but I see the sheep pinching any food they leave which isn't a problem as they can eat the same food.
So long as they are not living on top of each other and you buy in healthy stock in the first place it should be fine. There was also a field in a place called Jedburgh where the owners kept goats and sheep together for years, possibly still there. Just make sure the sheep you get would be ok eating the type of food your goaties eat (we feed our goats ewe and lamb mix anyway which they prefer to goat mix).