It's "figment of my imagination" although term is redundant, since figment means “product of the imagination”.
Figment is a creation in one's mind, or a mere product of mental invention. It is something made or feigned. Pigment on the other hand is about a coloring matter or substance.
Pigments of My Imagination was used as a title of a book (by Angela Kulig), as it was compared to a painting--made up of many tiny strokes. Thick strokes, and daubs, with angle brushes, and single bristles. The beauty is in the details, and if you miss one, you've missed everything.
So if you want to give someone a piece of your mind, you should say it as "figment of my imagination". To avoid confusion you can just say it as a "fragment of your imagination".
Every language has its own collection of wise sayings. They offer advice about how to live and also transfer some underlying ideas, principles and values of a given culture / society. Learn the most commonly used idioms at Smart-words.org.