The diet of a Harlequin Shrimp consists of Starfish.. Preferably of the Linckia SP. They aren't difficult to take care of in water quality wise, they are quite hardy.. The diet is the part that tricks you...
I've known hobbyists who simply used a chocolate chip starfish to feed the Harlequins.. They'd give them one arm, and then let the Starfish regrow a new arm in the sump..
Sick? Yes.. Cruel? Maybe.. It's an affordable way to feed these picky shrimp, it's also nature... Not exactly doing the method, but the whole process of feeding a beautiful starfish to this beautiful shrimp..
I really wanted a pair about 6 months ago, I never bought a pair because I don't think I'd have the heart to watch one of my favorite critters in the sea get devoured...
I'd definetly settle for something like a blood shrimp or cleaner.. They are pretty neat and not too bad looking.. Or go for a Coral Banded Shrimp.. I've had mine for 5 months now.. I hand feed him once every week or two, and he just scavenges around the tank for some pods and some left overs... They are hardy and I can always see most of my CBS's body from this overhang he chills under.. Either way you can notice the 5 inch tentacles sticking out.
Good luck!
Cheers.