I would just like to mention..
Some specific species of Lionfish can be MUCH MUCH harder to wean than others. All of Joel's advice above is very good, and it is the general consensus to give them a well-rounded diet of prepared foods.
BUT, I have a Lionfish species tank (3 seperate species).. in which 2 of the species ate prepared food only a few days after being in the tank.. Once they related me to live food, they would eat anything, even pellets off the top of the water. But one species, Pygmy Lionfish, will STILL not even attempt to anything but live food. He has been housed with the other Lionfish for over a year now, and watches them eat prepared foods on a daily basis, and still has not taken a single attempt at eating them. I will hold the food directly on its nose, only to watch another lion swoop in and snatch it right in front of him..
Just thought I would throw that in, so no one goes pulling their hair out over the situation..