Well part of the problems with lionfish is that they are predators. So when it's feeding time, they look for the eye of their prey, you need to trick them to thinking they're eating live food. So it's best (when you first get them) to try mysis shrimp, krill, blood worms, or anything else that the whole body has been frozen. Don't try choped up smelt, formula 1, clams, or anything chopped up. But when you get him to eat frozen, he'll generally be able to eat almost anything frozen.
-Mark