One of the unique traits of the African Pygmy Mouse is its habit of stacking pebbles in front of its burrow. In the wild, these pebbles would gather dew for the African Pygmy Mouse to drink. This pebble stacking behaviour is not behaviour that can be replicated easily in captivity, but they do seem to appreciate a stack of pebbles regardless.
African Pygmy Mice have cheek pouches like hamsters which they use to collect seed kernels after peeling.
These exotic rodents are too small to be handled as you run the risk of doing serious internal damage. They are very fast and agile, being able to leap vertically a foot. If you do happen to lose an African Pygmy Mouse whilst cleaning out once suggestion would be to place a 2 litre plastic bottle at an angle with food in the bottom. As long as you've provided a method for them to climb into it then they should be attracted to this. If concerned you can try using tinfoil, turning off lights so that you will be alerted when the African Pygmy Mouse is present, and then turn the lights on to startle your mouse and grab the bottle.
It has been reported that males can exhibit extremely vicious behaviour to each other but many keepers have kept these together successfully, and it is possible that the strain of African Pygmy Mice available in Europe has less vicious behaviour than its American counterpart.
They are very active rodents but can frighten easily. They need cleaning around every 2-4 weeks depending on how many mice you have, but are relatively clean and do not have a discernible odour.