First off awesome little guy you got there. Ok definitely not my pets although they are the only reason I have not chopped that damn dead tree down outside my window for the past 4 years. In the spring I always have wrapping paper to clean up or balled up Husky fur (from when I brush him in the yard) they must use it to pad the nest up in the tree. Cute little guys probably a tough winter for them.
I used to have a male Southern Pygmy named Houdini he looked just like yours. He was the runt of his litter. Little bastard used to climb into hoods on sweatshirts, pockets on shirts and pants, and stocking caps and just crap all over the inside of them. He also crawled up my shorts a few times and took a nibble on my sack.. it hurt!
Having said all that, I do miss the little bugger. It was fun to have a couple people stand about 3 feet apart and watch him jump from one person to the other. He did enjoy attention at night and did like to snuggle up inside a shirt pocket and get pet on top of his head. How long have you had yours?