Feeding: I start to put my dairy goats on an increasing (over an 8 week period) ration of concentrate, similar to the sheep. Just keep watching that they are eating, especially in the last couple of weeks. I have no ideas on quantities for pygmies though.
Vaccination: If the nannies are in the Lambivac system all they need is a 2ml booster about 4 weeks before kidding to make sure that the kids get all the antibodies in the colostrum.
Housing: I would leave the together till near the end and then have separate pens for them during the night and when inside during the day. That way they have peace and quiet when kidding and to allow bonding with their individual kids.
Heatlamps are a good idea, also most of mine really like to have a sideup box in their pen, too rovide a "cave" for the kids. One of mine freaked out though when she couldn't see where her kid had gone...