If you are getting goats for milk, are you sure you want pygmies? They would be the dickens to milk....even Nigerian Dwarfs, which are miniature dairy goats, are often not all that easy to milk. (Pygmies are a small meat goat with tiny teats and usually not much milk production.) What you should do, if you can find someone near you who has milk goats, is go visit them and actually milk their goats.
"How does the whole milking thing work?"
The whole milking thing has to start with a doe who is 'in milk,' that is, she's had a baby and is producing milk for her baby -- when you milk you are taking the excess (or sell or butcher the kids and take all the milk, depending on what you need). If you are new to this, it would be by far best for you to start with an experienced, calm, and gentle doe. Does who are new to being milked are sometimes calm about it right from the get-go, but sometimes they give you rodeos for a few days (or three weeks, like one of my first-fresheners did one time). New milkers don't need rodeos while they are learning to milk, LOL! Your new doe should also be easy to milk (see first paragraph). Not all does are equal in this area. Some have tiny teats, some have thick-skinned teats (Boer crosses in particular), and some have tight teat orifices (the hole the milk comes out of. My first goat, 26 years ago, had HUGE teats, literally the size of a summer sausage. That was as hard to milk as the tiny ones. You want teats that are soft and pliable, fit your hand, and aren't hard to squeeze the milk out of.
Now look at the udder. It should look more or less like half of a ball well-attached to the goat's body. There are lots of pictures of good udders on-line -- pick a breed and do a search for prize-winners. (Goat shows do serve a purpose, LOL!) Usually the pictures will show the doe's udder, because that's the most important part of a milking animal. You probably won't get a prize-winner in your first goat, but try not to buy a doe with a deformed udder (extra teats, half destroyed by mastitis, etc.), and try not to buy one with a pendulous udder (one that looks like a string bag hanging down and swinging with every step).
Next look at her body, feet, and legs. A goat has very straight pasterns compared to a horse. She should be standing almost straight up on her pasterns, they shouldn't be bent down. If she looks like she is close to walking on her pasterns, pass on by. A goat can't carry the weight of kids or be a good milker if her feet and legs aren't sound. Again, pictures of some really good goats will help you weed out the bad ones. Her body should be deep and wide. You don't want a narrow, slab-sided, shallow-bodied animal because she won't have the feed capacity of a good goat, and if they can't pack the feed in, they can't put the milk out.
She should be in good milking condition, neither so thin that she looks like skin and bones (but dairy animals do have a bony look about them when they are properly conditioned), nor so fat that you can't feel her ribs. The fat does, especially if heavy producers, are more prone to kidding problems and to hypocalcemia. Backing up a bit to her feet, hooves need to be trimmed regularly as they grow, just like our fingernails do. If the doe looks like she's wearing elf shoes, be cautious. Have an experienced person look at her if she's good otherwise. Usually, regular trimming can bring such feet back into good condition, but make sure she hasn't been foundered, or left in this condition for so long that her feet are deformed. (Hoegger's Goat Supply carries a good pair of hoof trimmers -- don't let anyone tell you that pruning shears will work just as well. They don't.)
Now look at her head, checking for a bad bite (makes it harder for them to eat) and check her teeth (read goat books to see how many teeth a goat is supposed to have at what age, and what they should look like). Make sure her eyes are healthy, and that she doesn't have scurs (deformed horns that often form on goats that were disbudded as kids) that look like they are going to end up trying to grow into her head or something (I've got one -- disbudded as a kid by someone else -- who has a scur trying to grow into the base of her ear. I've got to cut it off periodically. A major pain, as they HATE to have their horns handled.)
Last, check health papers (you can actually do this first and save yourself the trouble of examining a goat who hasn't been vet-checked). She should have negative tests for CAE and CL at least. There should also be records of when she was wormed and had CD&T shots. It's good to buy from someone who keeps records of when they trim hooves, and of daily milk production, too.
Okay (long answer to your question, I know!). You've found a nice doe, she's in milk, and you have everything ready for her at home -- a shed, or pen in another building to keep her out of the weather; hay on hand (the bulk of their diet needs to be roughage -- too much grain or store-bought pellets will make them sick); bedding for the pen; a water bucket or waterer that she won't be able to poop in (outside the pen is best -- fix it so she can stick her head through the fence to drink); a feeder that she can't get into -- even if it's just dropping the hay on the outside of the fence; a mineral feeder (or plans to feed mineral by hand every day or two); and a companion! (You can't just keep one goat -- they are herd animals, will be miserable alone, and when miserable are extremely noisy! A sheep or a pony can work as a companion, however, sheep have different mineral requirements and ponies can injure or kill goats, so it's best to have two goats. You'll need more than one, anyway, to get the year-round milk you said you wanted.) You can haul the doe (s) home in the back of a van or station wagon if you put a tarp down first, and are prepared with lead ropes (horse ones, because they are sturdiest) to tie them so they can't jump into the front seat with you! The open back of a pickup will work if the weather isn't too bad, but tie them securely from both sides of the pickup bed so they can't jump out either side. It's called cross-tying.
You have to figure out what milking times are convenient for you -- 6 am and 6 pm, 7 am and 8 pm, 8 am and 5:30 pm, or whatever -- as close to every twelve hours as you can manage, but be consistent about it every day. After you bring a new milker home, let her settle into her new home for a little bit while you watch to see if she finds any escape routes you didn't think of. If she's hard to catch, leave the lead rope on her and don't let her out into a larger pen or pasture. (Dairy goats who have been bottle-raised are seldom hard to catch; dam-raised goats may be, depending on how much they were handled.) When you leave her to go in the house, keep a close eye out -- she may decide that she can jump higher than you thought she would be able to, LOL! In fact, it wouldn't hurt to just tie her up IN HER PEN for a couple of days, where she can reach her food and water. You are less likely to lose a good goat that way (if she's tied, make sure there's nothing she can get the tie rope caught on, and make sure no dogs can get into the pen with her). If you have two, and they are used to being together, just tie one of them -- the other won't go far from her.
Now, she's home, in her pen, and it's time to milk. I'm going to tell you how I manage milking time; you will eventually figure out what works for you and develop your own routine. I have a plastic box that I carry my milking stuff in -- I load up the number of glass quart jars that I'll need (I know pretty closely how much milk to expect at each milking), the milk pail, milk strainer with a filter in it, and something to wash the udder with. (Actually, I don't usually wash udders anymore -- I had too many chapped teats in the winter, and found that my milk keeps just as well if I don't wash. But you should wash to start with. A container of warm water and a couple of paper towels will work.) You'll also want a brush, so you can brush the doe quickly before you start milking to remove loose hair and dirt. When you fix an area to milk in (preferably in a separate area from where the goats live, although many of us have to make do with milking in the same shed) make sure you have a table or shelf to set things on. (You'll also want a cabinet to store some things in.) I set out the jars and the milk pail, setting the strainer in one of the jars so it doesn't get dirty. I do whatever chores need to be done, then get the grain for the doe I'm milking and get her and put her on the milking stand. An experienced doe will hop right up; new milkers have to be taught what the milking stand is for. Brush her, and wash the udder if you are going to (a good brushing should clean her up sufficiently, though I know people will object). Sit down on your milking stool (mine is an up-ended bucket), facing her rear. Grasp a teat, squeeze at the top so the milk can't flow back up into the udder, and sqeeze the first squirt of milk onto the ground (that's where most of the germs are, in that first squirt). Do the other teat, then get the milk pail and start milking. Watch her back feet -- some does get restless and start moving around. Some get impatient and (I think!) deliberately step in the milk pail (if you think she's done it deliberately, smack her instantly! A doe I sold last year would stand fine until I was nearly done, then get restless and start trying to step in the milk pail. Aggravating!). When you've gotten every drop out that you can get, pour the milk through the strainer into the jars, watching the milk level so you don't overflow. Turn the doe back into her pen, gather everything up, and get the milk inside and into the frig as fast as you can. Actually, if you can, put it into a sink full of ice water to cool before refrigerating. It will keep longer if it's brought down to forty degrees as quickly as possible. Then clean up your milking equipment and you are done until the next time!
"I know they need to be milked twice a day everyday at the same time."
More or less. You can adjust the schedule a little bit if you need to, but try to be as consistent as possible. If you vary your milking schedule too much, it stresses the goats, and also they will start to dry off (stop milking).
"Is that considered "raw" milk?"
Yes, when it is straight from the animal, it is raw milk. Hasn't been pasteurized.
"Is it drinkable?"
Yes, as long as the goat is healthy (and you will learn what to watch for -- well-cared-for goats seldom get mastitis, although it can happen. I haven't had a case of mastitis in a long time, though).
"What can you use it for?"
Anything you would use cow milk for. I'm making most of mine into kefir or cheese.
"How hard is it to make cheese?"
Not hard, but it's persnickety with both timing and temperature. And you need a few things that you probably don't already have in your kitchen, like a dairy thermometer, cheese cultures, and rennet (not the kind for making pudding, it has to be cheese rennet). Cheese cloth is necessary, too, but the best thing to use for that is a length of muslin fabric, NOT the gauzy stuff labeled cheese-cloth that you can buy at the grocery store! If you get into pressed cheeses, you'll need a press, but those aren't too hard to make. Hard cheeses require a specific environment for aging, and without it, are hard to make. You'll also need a cheese-making book -- I like Goats Produce Too.
"Do you need to do anything to it before you use it??"
The milk? No. You can pasteurize it if you want to, but it's much better for you raw, and will taste better, too.
"What age do you start milking?"
Well, my daughters started milking when they were about seven -- their hands weren't quite big enough before that. LOL! I know, you meant the goats! Some people don't have their goats kid for the first time until they are two -- they say they want them to have that extra growing time. In my experience, I had a doe who kidded when she was only ten months old (because I forgot to check the calendar before I bred her, and mixed her birth-date up with another doe kid -- normally I want them to kid around their first birthday), and by the time she was three years old, she was almost as big as her wethered brother, who I had also kept for a pack goat. So I don't think kidding early hurt her a bit, and I had that extra year's milk out of her. You do have to feed them really well, though.
"Will they produce year round?"
Normally, they are bred each fall/winter, kidding five months later (145-158 days after being bred). You can keep them milking until about six to eight weeks before the new kids are due, then they need a rest period to get ready for the next lactation. If you have two goats, you can stagger their breedings (at least in theory!) so that at least one of them will always be in milk. It is also possible with some (few) goats to 'milk through' for two or three years without re-breeding them. Normally when you do this, their milk production will drop some during the winter, and pick back up in the spring, although not to their peak level. If you have two does and can alternate milking one through each winter, you are more likely to have the steady supply of milk you are looking for. MOST goats are seasonal breeders, meaning the buck starts to go in rut in late summer/early fall, and shortly after that the does will begin to come in heat. They will usually be in heat about every three weeks until bred, or until the end of January approximately. A few breeds will, in theory, breed year-round (Nubians, Nigerian Dwarfs, Kinders, and probably Pygmies, although, as I said at the start, Pygmies aren't milk goats). I've had Nubians and Kinders and couldn't get either one to breed out of season even when they had a buck living right in the same pen with them. On the other hand, individuals of all the seasonal-breeding breeds have kidded in every month of the year. So it all depends on your individual goats. You do have to be careful when you have kids, to castrate your buck kids before they are eight weeks old, or separate them from ALL the females before then, or they may breed their mother or worse, their sisters at a very young age.
Well, it looks like I wrote a book! Hope that wasn't too much to digest at once!
Kathleen
Thanks for the help.
I use multiple filters due to once seeing a small hay fine flake piece (very small about the size of ground pepper) make it somehow past the 1st filter, so I use the second filter to insure the cleanest milk. (yes I'm to a small degree germophobe .... says Hubby...........but if the extra steps make me feel better about the milk I'm providing my family, so why not? 
(& he Hates yogurt regularly in the store). 
