How big are they?
The best way I have found to change a diet, is to only serve that type of food from now on. They may not eat for a day or 2, but once they realize that it is the pellets or nothing, they will take the pellets.
Edit: In fact it took my cthenapoma almost 5 days to switch from cichlid flakes (which he grew up on with another aquarist) to hikari gold pellets.
The guy I bought them from started then out on frozen. My EBJD eats both I was hoping seeing him eat the pellets they would try it but the other 3 will have no part in it.How long have they been eating frozen?