Yea the first thing I fed them was small shrimp (from the petstore)... they loved it and when I brought them home (got them in NY, live in CA), they didn't eat anything. It was because my water was too cold since I didn't have a heater in it.
Once I got the heater they got very active and ate a lot and would eat pellets. Also I don't like the idea of feeding them in a seperate container especially if you just got them. They are probably confused of whats going on when you move them - especially if the water temperature isn't to their liking. So check the water make it around 70-75-80 (warmer if young, cooler if adult) and try getting them to eat first in the container their comfortable in