Lockburn,
Three months ago I ended up with a pregnant female Mercatoris as my first ceph and found that she liked the giant barnicle shells (the kind that are purple and white) that are very common. The big advantage to these shell clusters is that they offer viewing but still give security. You will need to provide plenty of smallish shells or lr pieces so that the octo(s) can create a "door" and I don't know how well a non-brooding merc will accept the den but several in a tank may be ideal for a multi-octo tank. They will not, however, offer any filtration so you would still need to include LR or some other form of biological filter media.
Do note, as Neogonodactylus, points out that any Merc you find now (and you will have difficulty finding them at other times of the year) are in their breeding and brooding season. Mine hatched far fewer eggs than is normal and may have done as Lev's and laid eggs in a den she found unsatisfactory and only brooded these few in her den of final choice (she moved dens about every 3 days for the first two months before I put the shell cluster in the tank). It is unlikely that you will find a young pygmy unless it hatches in your tank.