Those phrases are called idioms and they’re an interesting part of language. They rely on figurative meaning instead of literal meaning. Let’s look at one of your examples: “you’re pulling my leg.” The literal meaning of this, of course, is that someone has taken hold of the narrator’s leg and is tugging on it. The meaning of the idiom, however, cannot be garnered by looking at the dictionary definition of each word. Its figurative meaning is to say something that isn’t true, as a joke.
Sometimes you can trace the language of idioms to their source to find out why that phrase came to carry that meaning. The Phrase Finder is a good source for this: www.phrases.org.uk/index.html. For example, the phrase “red letter day” is used to note special days. It comes from the very early practice of marking church festival days on the calendar in red.
People often pick up the meaning of idioms through repeated exposure. I’m not sure how long the process would take for a speaker to use them seamlessly in a language other than his own. Have you spent much time talking with a real person who has been speaking English as long as your character has? That should give you a sense of the possibilities that exist. Based on my own observations about this, you might have your character translate an idiom from his own language, or use the English language idiom, but use it in a way that’s slightly off, relying on different wording or applying it to a situation that’s very close but not quite apt.
Of course, all of this depends upon how long the person has been speaking English, the nature of his personality, and other traits. You’ll need to consider what’s believable and, at the same time, consider how likely your choice is for your individual character.