He needs to be trained to eat in captivity. He'll likely not eat much due to the stress. It would probably be best to let him go to be honest. Additionally, it may be hard to replicate his needs as far as temperature, moisture and diet.
Depending on the state you live in, it may actually be illegal to keep him. The department of fish and wildlife has many regulations on what can and cannot be kept in captivity and in some states (Washington for example) you can get up to a $5000 fine for keeping native species.