I'd get him eating now, even if it takes live shrimp. De-worm him (which you need live shrimp to do anyway), and then start training him to frozen. He shouldn't go more than 4 days without food (it could be deadly), so get him fattened up a bit and used to being full all the time before you try to train him to frozen. Then, when you train, you can feed him frozen in the morning (using the tips sugartooth suggested) and live at night for a few days... if that doesn't work, get him fattened up on live again and try going a day without food and then feed frozen, but like sugartooth said, don't let him go more than a day or two without a good couple days of eating.
Also, do you have him in a bare bottom quarantine tank? If you don't, you'll want to put him in one because it will make it easier to see what he is eating (and what he is pooping), it will prevent him from turning up his nose at mysis to hunt copepods (which won't be a sustainable source of food anyway), and it will allow you to deworm him without killing any inverts you have in your display.