Releasing it wouldn't be wrong. They're made to handle your local weather and up until now they had been living outside. Your day time temps are warm enough for it to find appropriate shelter for the cold nights.

If you're intent on keeping him, you should order fruit flies now and learn to culture them so you have a steady supply of food over the winter. When the temperature drops much lower, it starts to get tough to have them shipped to you. In the meantime, I'd get out the shovel and go digging in as chemical free area as you've got and look for small sow bugs, springtails, and earthworms. You can cut up earthworms into smaller pieces if needed and they'll still wriggle.