Shrimp from the grocery store is just fine. That's what I use. I leave the shell on, though I don't feed it the head. . .not because I've ever been told not to, but there just seem to be too many sharp protrusions on the head. Anyway, how big a piece you feed is a subject of some debate, but I would usually cut off about a 1/2" chunk for my 6-8" diameter anemone. He'd eat bigger, but I figured it should probably be a bit smaller than the anemone's mouth at the very least.
Other foods you can feed the anemone are silversides (a favorite among many), mysis shrimp, clam, or just about any fish. Actually, just about any meaty seafood should be acceptable, and just like your fish, it's a good idea to mix it up a bit so you have a better chance of meeting all of its nutritional needs.