The whole story is about Tiffany Aching and her quest to bring home her little brother, so why isn't the book called something like Tiffany's Grand Adventure instead of The Wee Free Men? Perhaps because the pictsies end up having a lot to do with Tiffany's journey, and in a lot of ways, she couldn't have done it without them.
Plus, the name that the pictsies choose for themselves is significant. They are known as the Nac Mac Feegles and as the pictsies, but they choose to call themselves the Wee Free Men—which signifies that they are free from the Queen's rule. They don't have anyone that they answer to in that way anymore, and they're not going back.
Their admirable assertion of their own freedom is something that rubs off on Tiffany, and she comes to see that she doesn't have to listen to any authority if she thinks they're wrong. She doesn't have to listen to the Queen, or even to the Baron when it comes down to it. Tiffany is free to make her own decisions—and for her, that means rushing into the Queen's territory to get her baby brother back.