Me, I would start training the fish as soon as I get it. I have had to train my volitan lion twice in my tank, and both took under two weeks for him to accept frozen food. (Note, the only reason I had to train him again was because the salinity went to 1.010 and he stopped accepting EVERYTHING).
The way that has worked for me, and many others, including people that I have helped is as follows. Buy your live ghost shrimp. Do NOT buy freshwater feederfish unless you hope to kill your lionfish. First, make sure he accepts ghost shrimp and eats them pretty quickly. Feed him only one at a time. Once he eats the first, put another into the water. If he does accept and eat them quickly, feed him a few days straight of just putting them into the water and allowing him to grab them quickly. Feed him until you see a slight bulge in his stomach. Then, after a few days, begin to feed him every few days. The lion will start to recognize you as the food source and he will periodically swim to the top of the tank when he sees you. When it comes time to feed him, take out one ghost shrimp and instead of just dropping it in the water, hold it between your fingers and make him want the food. Drag it along the surface and make him follow you fingers. Please though, be careful not to let him get too close to you! After he follows your fingers for a few seconds, release the food and allow him to eat it. Continue to feed him this way for a week or so. In one week, he should very readily accept frozen silversides this same way without any problem, because he will recognize in his brain that your fingers mean food. Then, after a week or two of doing it with the silversides, feeding him should not be an issue.
Hope this helps! This has proven to be very successful for me, and many that have come to me with finicky lions!