Too much protein in a mbuna's diet can also cause bloat. If your fish's belly swells up and it is lethargic for a few hours or even a day, it may have bloat. Bloat can be serious and even deadly, but for the most part it should go away in a few hours. I, personally, wouldn't feed my mbunas feeder fish at all, but everyone keeps their fish differently.
Next, I agree that feeder fish that you buy from the lfs aren't the best way to go here.
However, I think you would be better off breeding guppies for feeder fish than convicts. Convicts, in true cichlid fashion, will breed like crazy and soon you will have a ton of fish that are too big to feed to your mbunas. Also cichlids are a bit more bony than other fish used more traditionally as feeders so some fish will refuse them. Guppies' adult length is a lot smaller than convicts, they are more soft bodied than convicts are, and they'll breed like crazy for you, too. I think you'd have better luck with them.