Frozen silversides, mysis shrimp, and krill should work just fine. Any LFS should have these types of food.
Unleashed, while I agree that frozen food is always better as far as nutrition, that was not my point in telling him to use ghost shrimp. Ghost shrimp are good to use because they wean the lionfish onto frozen foods without any negative effects. The same cannot be said about using freshwater feeders, like I said, because freshwater feeder fish promote fatty liver disease, whereas ghost shrimp do not. You can feed the ghost shrimp with nutrients and quality food in order to make them a little more nutritious, whereas, if you were to do this with goldfish or rosy reds or guppies, you would have a little nutrition but it would not change the fact that they are extremely high in fats. Using your theory of using damsels, you would first need to find damsels small enough, which is unlikely, and then find somewhere that sells them much cheaper than $3 a piece because that is just impratical.