You want to create a "lagoon" of sorts. Low flow, sea grasses or macro (personally, I'd not use alga) or gorgonians and coral skeletons (like a rubble zone between a reef and a lagoon would look). I'm planning on a short sandy bed and coral skeleton hitching posts. The problem most people find with macro in a pony system is that you constantly have to thin it out and the less time with your hands in their tank, the happier the sea horses will be.
I also found, that the real key is to ensure you have enough tank height. Those ponies will get tall, and need some water above and below them. Especially if you want to see them in a courting/breeding ritual. The ViaAqua tanks and other "taller than wide" tanks are ideal. Even the hex tanks will work well. They really don't need much horizontal space (unless you have lots of ponies). Actually, a taller height and shorter width helps them to feed better. They don't have to expend as much energy moving around to catch their prey. Remember, ponies shouldn't have to chase the food. In their natural habitat, they snick up little bugs and such that pass by them. They will move from a hitching post to feed, but you shouldn't see them darting around to catch food.
Low flow is also key to feeding. This is why I would not go with a medium or deep sand bed. There is no doubt that food stuffs will settle to the bottom. You may find yourself building up too much nutrients in sand if it is too deep/course etc.
Remember not to put any other fish or whatever that will out compete for the food. If you have damsels or something that dart around and finish off a cube of frozen brine in two minutes, your SHs will surely suffer.