Get him to take live ones for a few days. Then give him 1 really small live one and a dead one. If he takes the dead ones start cutting them open and stuffing them with something, small pellet food is easiest. After a few days to a week of that, start offering frozen food with the dead food. He'll eventually make the switch to frozen that way.
If he wont take the dead ones right away and he's looking skinny, get a syringe and inject Vita-Chem into the ghost shrimp. He'll wiggle like hell in the water and the vitamins get passed straight to the lion.
For the ghost shrimp, I bought a 2g tank, set it up with a light and air pump. The bottom is filled with Ehiem Ehfimech so the young have a place to hide from the older shrimp. These shrimp breed really easily and can make a fun treat for him. I bought 30, of all sizes, for my 2 gallon. I feed them hair algae that grows in the tank and pellet food intended for marine fish. I have the salinity at 1.005 or so.