For a very young lion, the general belief is to feed them daily. Feed the fish until he has a bit of a belly bulge, not to the point where they look spherical. Once the fish gets larger (say 4" - 5" with the antennata), then cut back to every two days, and work your way to 2-3 times per week once he gets closer to adult size.
While it is great that you have a lion accepting pellets, they really are a predator, and pellets tend to be formulated more for the omnivores and herbivores. I would definitely add a variety of shellfish and marine fish flesh into the diet, available at your local grocery. Shrimp, squid, scallops, cod, salmon and flounder are all good.