I'm having to do this at the moment. Boil some water and pour it over the pellets, so it's just covering them, then leave them to soak up the water and turn mushy. Once it's cooled you can feed it to your piggy. I don't know if this is the correct way, but that's how I've been doing it.
Also, what pellets are you using? I have Burgess Excel, which are a bit harder than the Burgess Blackcurrant and oregano ones as they are bigger. I usually break them in half before soaking them.
Hope this helps.