I assumed he is a juvenile coconut octopus (Octopus marginalis). I believe the shot is about 1:1 so the bivalve shell he is carrying is less then 2 inches wide.
BEHAVIOR: he was walking around with the two sides of the bivalve shell, holding on to both with his arms. One underneath pretty much the way you see it in the photo with a few arms extended out to move along the bottom. The second shell half was dragged along with a few arms until he decided to cover himself up (what you see in the photo).
Is this a juvenile coconut octopus? Has anyone else seen this behavior?
Yes it is. While they're called coconut octopus carrying shells is their natural behavior. Animals that live near humans who throw their split coconut husks & other trash into the sea have the option of using these other materials for their mobile homes.
Yes, this looks like a veined octopus to me (O. marginatus). It is common to see lots of small ones of these and they are regularly using shells etc for homes in muck diving spots. Great find.