When my bearded dragon first arrived, I didn't feed him at all the first day to give her a chance to settle in. However she ate the crickets I offered without hesitation but it was nearly a month before she ate greens regularly.
I personally feel pellets should be offered only as an extra with regular feedings of crickets and greens instead of a stable diet. Others here, however use it all the time with no problems, except a slower growth rate (but they catch up to sibling size/weight by the time they are a year old)
I would offer crickets the first day and see if he will go for them. Offer greens with pellets as well but don't worry if they are untouched for the first couple weeks, just dust your crickets regularly to ensure your dragon is getting all the nutrician he needs.