I used to take a shot glass, melt a cube or two of mysis shrimp inside it and some 1mm NLS pellets mixed in with it. I'd feed that to the tank and for the most part just saw the anthias eating mysis, then one day I really watched and they were taking in some pellets as well. Not a lot, but they were. I slowly weaned my entire tank over to just pellets by decreasing the amount of mysis in the shot glass and raising the amount of pellets and by the end of a month or so, everything in my tank was happily just eating pellets.
I dont have that tank anymore, but I had four lyretail anthias for over a year in it and they did good totally on pellets for the last 8 months or so until I sold the tank and it's inhabitants.
My experience with most fish that get weaned over to pellets is that even when I offer meaty foods like mysis or cut up pieces of fresh meat from the seafood store, if I offer it with pellets the fish take the pellets first, then the meat. It makes me think they really like the pellets, although it could just be they are used to eating pellets so they know that's a good food and that is what they go for first.