My LFS recommends that I feed the ghost/grass shrimp cyclopeeze before feeding them to my seahorses. I feed my mandarin goby brine shrimp that are presoaked in phytoplankton and selcon. Out of curiosity, I put a few brine shrimp into the container that houses the grass shrimp, and the shrimp ate the brine. I later fed those to my seahorses.
That could be an idea, but I heard somewhere that seahorses find it difficult to digest brine shrimp? I don't feel this is so because mine swallow entire grass shrimp whole (at times ones bigger than the actual seahorses' heads), which have much more chitin and other things that would seem more difficult to break down.
As far as getting them to eat frozen foods.. apparently mine are captive-bread, and the tank they came in were filled with seahorses that were voraciously eating frozen mysis. Upon bringing my pair home, they refused it and only responsed to live food they could chase. I think the element of chase is the important idea - they won't necessarily chase the frozen mysis if it sinks. So the LFS recommended that I supply an auxilliary power head that I use during feedings to increase the flow and "give life" to the frozen food. Also, another LFS mentioned that I could occasionally starve the seahorses for a day or two and try the mysis to see if they will respond. Apparently over time they will. Let me know if you find a better way, because I need to convert these guys over to frozen food!