I have kept a couple of crayfish before and they are quite amusing little creatures. Im not sure what species you have, someone will know soon. They eat pretty much anything, and will eat those feeders if he can catch them alright. Id vary his diet a bit with plant/veggie and meaty foods.
The main thing you need to know about the crayfish is the molting. Every so often they shed their all of their shell (and I mean all of it, claws, eye sockets), one day you will look in there and see two of them! They do this as they can grow larger and it is very IMPORTANT you leave the old shell in the tank so he eats it. You wont need to feed him anything at this time. He needs to eat the old shell for the calcium I think it is, as this makes his new shell harden faster. They are very vunerable at this point and may hide alot. They can also lose a whole limb and claw when doing this but it can regrow on the next molt.
Make sure he cant escape out of the top, they climb alot. Have fun!