I agree with aquabach; bloodworms 1st choice, brine shrimp second, but im surprised nobody has mentioned flake food. Yes, the mighty BGK eats flake food like a common guppy. GK's also eat small fish, so if you wonder where your neons went... now you know. My BGK is given thawed bloodworms for dinner and flake food for breakfast.
About hand feeding them, lots of people do this but I am against it. Just for no particularly good reason but I like my fish to be wild, not tame.
And some advice. the BGK takes a good three weeks to become comfortable in its new home. dont try to make it eat or make it come out of hiding. Let it be. Soon he/she will be all over the place, but mostly at night.