I've noticed he's been dropped even in deep leagues and lyon's recent strong outings have eliminated any discussion of him taking the closer role anytime soon. The good news is he still seems to be next in line, as he's been pitching ahead of qualls in the 8th inning despite his early struggles. It's still early and Lyon could still implode so I would at least keep an eye on Pena, if not stash him on your bench if you are desperate for saves if you have the roster space and some patience.
Dont pick him up unless you are in a very deep league.
Lyon has a LONG leash and picking up the saves right now. Pena will not benefit you in any way and might raise your ERA if he gets knocked around in his set up role. Qualls, Okajima, Broxton and Bell are better options for Perez!