Friendly Boulder

The pet comes from boulders that already sit in the world. Most of them are the ordinary trap kind, but world generation marks a small number as special, and breaking one of those hands the item over. Bigger worlds are seeded with more of them, so a small world gives you the fewest chances to stumble across one.

In practice you get this by setting off traps rather than by farming. If a Boulder comes down on you while you are combing a cave, break it instead of walking away. Worlds rolled with traps disabled carry twice as many of the special ones, which is the closest thing to a deliberate route.

The pet itself rolls along the floor behind you and, when you fly, simply rolls upward through open air to keep up. It looks exactly as odd as that sounds.