Do you have anywhere in your home that could be sectioned off? I basically used a heavy box (Ikea furniture I've been meaning to build for a month...or maybe 6) to block off the "dangerous" part of the hall, then lay down in front of it with the pigs. That way even if they got too curious I could still get ahold of them and put them back towards the door before they decided to squeeze past the box. The other thing is making sure there's nothing they can chew on that they aren't supposed to have, as Blitzen reminded me by trying to eat a stone. Thankfully he spat it out himself.
I'll look into getting something for Blitzen to hide in but I don't think his problem is fear so much as..."why am I doing this, why are you bothering me". They were out for around an hour and a half today and by the end of it he was chasing Comet around. I suspect he's got more of a case of the grumps than anything else, he certainly seems to be more of a grumpy piggy (he's taking after me, aw bless!).