They most likely won't eat the pods, or at least they shouldn't have to. If you are getting true captive bred specimens from a very reputable source they will be eating frozen mysis shrimp as a staple diet. There will be no need for live foods.
As for set up, you want a moderate flow that is dispersed throughout the tank. Multiple returns with flare nozzles and/or spray bars are ideal. Temperatures need to be in the 72-74F range any higher and you will run into health issues. Set the tank up and cycle it just like you would any saltwater tank. As for things to hitch onto, they will use anything in the tank. Including power cords, thermometers and filter intakes/returns.
As far as what to keep with them, have a look at this link. It should answer most of your compatibility questions.
seahorse.org - Tankmates