Banq, let's see, the below will build the minimal version without some of the dependencies, is that good enough for you?
1) prepare dependencies
opkg install libsdl-1.2-dev libv4l-dev
ln -s /usr/include/libv4l1-videodev.h /usr/include/linux/videodev.h
2) download and unpack the pygame tarball
3) go to the unpacked directory
4) configure, build and install pygame (it will show you which dependencies it found and enabled and which not):
python setup.py