Aquariums: What to feed lipstick goby

Just got 3 of these because my loves them. We had a lipstick goby prior to these guys that was eating frozen bloodworms regularly. These guys don't seem to be taking to them. I've been reading that live blackworms are probably going to be the best bet, but I'm having a hard time finding them for sale, and they are somewhat expensive. Doesn't seem like a sustainable arrangement, unless I can keep them alive between feedings or start a culture in a separate tank which I'm not altogether keen on

Anyone had luck with any other types of live or frozen foods?