You could try him with a mealworm, but my guess is that he would prefer a regular small soil worm. You might have to do some hunting around to find something small enough for the little guy, if you plan to keep him. Turn over rocks and get the tiniest worms you can find.
They like garden slugs, too.

I would suggest culturing garden slugs now--find some and put a little group together, and get them breeding, so that you'll have something for him over the winter. Some of the stores stop carrying panfish worms in the winter.

The Walmart over on Blair High carries panfish worms right now. I'm not sure if they will be small enough or not, even if you break them up.