They'll eat mealworms, but it can be really hard to get them to take pre-killed food. Also, mealworms aren't good as a staple, only an occasional snack. The exoskeletons are too hard and can cause impaction if eaten too often.

Don't worry; mine took almost two weeks to start eating when I brought it home. Put his tank in a fairly quiet place that doesn't get much traffic and he'll adjust quicker. Also, just make sure his temps, humidity, and substrate are correct. If the environment isn't right, they often wont eat well.