We are given the expression:
\[
\frac{1 + \sin \frac{\pi}{8} + i \cos \frac{\pi}{8}}{1 + \sin \frac{\pi}{8} - i \cos \frac{\pi}{8}}
\]
Let \( z = 1 + \sin \frac{\pi}{8} + i \cos \frac{\pi}{8} \). The conjugate of \( z \) is \( \bar{z} = 1 + \sin \frac{\pi}{8} - i \cos \frac{\pi}{8} \).
Thus, we can rewrite the expression as:
\[
\frac{z}{\bar{z}} = \frac{1 + \sin \frac{\pi}{8} + i \cos \frac{\pi}{8}}{1 + \sin \frac{\pi}{8} - i \cos \frac{\pi}{8}}
\]
This expression simplifies as:
\[
\frac{z}{\bar{z}} = e^{i 2 \cdot \frac{\pi}{8}} = e^{i \frac{\pi}{4}}
\]
Step 1: Take the power of the expression
Now, we need to find the smallest positive integer \( n \) such that:
\[
\left( e^{i \frac{\pi}{4}} \right)^n
\]
is purely imaginary. Using the properties of complex exponentiation:
\[
e^{i n \frac{\pi}{4}} = \cos \left( n \frac{\pi}{4} \right) + i \sin \left( n \frac{\pi}{4} \right)
\]
For the expression to be purely imaginary, the real part must be zero, i.e.,
\[
\cos \left( n \frac{\pi}{4} \right) = 0
\]
This occurs when \( n \frac{\pi}{4} = \frac{\pi}{2}, \frac{3\pi}{2}, \dots \), or \( n = 2, 6, 10, \dots \).
Thus, the smallest positive integer \( n \) such that the expression is purely imaginary is \( n = 4 \).
Thus, the correct answer is Option A.