Well, they almost never accept prepared foods. In fact out of hundreds of observed specimens I haven't ever seen one that appears to eat. I have seen them sift food through their gills at times but it didn't appear they were actually eating. So, you need an established aquarium that will provide it with natural food sources. They spend a good portion of their time sifting sand and will pick god knows what off rocks... I've never seen a gut analysis but I suspect a good portion of their diet consist of tiny worms, detritus, and tiny crustaceans. There are reports that they eat filamentous algae but from what I've seen they will pick things off of filamentous algae but not actually consume the algae.
So... if you have a sandbed, your tank is fairly established (6 mos. or so), and you're not a freak about keeping every bit clean they can be great little fish. They're peaceful, other fish tend to not focus aggressions on them, and they're fairly active. The Hector's goby is virtually identical and also a great addition given the correct environment.