I think there's something to be said for just trying it out first with whatever is on hand. Lego blocks are a good and very easily available substitute. Use 3 size of blocks (e.g. 1x2, 2x2 and 3x2) in 4 colors, more options than that will just muddy things up without adding anything interesting. The set of possible relationships between pieces is different than if using pyramids, but it's roughly as rich a vocabulary.
Though with Lego you do need to make it clear up front that rules like "a koan has the Buddha nature iff it looks like a dog" are too subjective :) Doesn't happen with the more abstract pyramids.
agreed - lego is probably the best easily-available substitute for pyramids; the difficultly is that you have to be a lot more precise up front about which features and combinations are and are not acceptable for use in koans. it does have the easily-relatable trio of colour, size and pip-count, which is nice.
Though with Lego you do need to make it clear up front that rules like "a koan has the Buddha nature iff it looks like a dog" are too subjective :) Doesn't happen with the more abstract pyramids.