Okay so I am not recommending that everyone go out and do this with their pygmies but I figured that it is always good to share experiences so here we go.
For the Thanksgiving weekend I went down to FL. Anticipating a temperature drop I pulled in all but my Sarrs and VFTs. Well it turns out I accidentally forgot a pot of pygmies. When I returned I found them and started kicking myself, especially after checking my Min/Max thermometer which recorder the low during my away time as 22 degrees. I worried over it a little and brought it inside. As of last night there is green growth on it and it looks like some gemmae are still popping up from the centers. So it seems that pygmies have a fair amount of cold tolerance.