My lesser sirens were also finicky until I offered them frozen bloodworms (available at most pet shops). They took to these immediately. They also eat live amphipods and isopods, and occasional ghost shrimp.

I've tried earthworms, but the sirens usually spit them out after attempting to ingest them; I think it may be the length of the worm that bothers them, as they can't get it all the way down in one gulp.