if you have only just got him then thats usual. give him a few days, even a week to settle in. babies can easily get stressed out, so leave him be for a few days, and then try again. are you able to get hold of hatchling/pinhead crickets? these may be better then the mealworms to start with. mealworms might be better left till he gets a bit bigger. you could also try fruitflies. im not sure if they'll take fruit, you can only try.