If possible, try to get ahold of some live brine (or even better live mysis). While the brine are nutritionally weak (and not a good long term option), they often can encourage wild fishes to start accepting prepared foods.
Enrich the brine in a vitamin to help provide more nutrition.
People also have great results with blackworms. I don't have experience with them.
If you don't want to go the live food route, then I would recommend focusing on small sized foods. Spectrum's small fish formula is a great food. Presoaking it in some tank water helps it break through the water's surface.
Nutramar's product; "Ova" (shrimp eggs) is one to look for. It prompts a great feeding response despite being expensive.
I have had great luck with this product with anthias and difficult feeders
Also, Capelin roe (Mallotus villosus) which is available at some asian markets, is a great option. The particle size is perfect for many planktivores in my opinion. It is also negatively buoyant which I like.
Yes, this is an excellent idea which is nutritionally good, inexpensive, and easy to find
I have heard a few cases where Fathead Sunburst Anthias (Serranocirrhitus latus) would only accept PE mysis. I would be interested to hear if others have differing experiences with the species.