I swapped my axolotl to hikari sinking carnivore pellets at around 4 inches after having him on black worms, which was the diet at the LFS. He ate the pellets readily while I found some worms and tried the red wrigglers with little luck, ate them in small amounts and regurgitated them if he ate more than 1 or 2, not enough to keep his weight up and he started losing weight, so back to the pellets.
I got some Canadian Night crawlers not long ago, about the same size as his. He hadn't eaten pellets in a day and ate the first night crawler after a bit of a struggle (ended up being bigger). Every day after that he refused the worm, sometimes doing what yours does until eventually by the 3rd day he would just walk away from me when I put the worm in front of him. I decided to give him a nice break and try the worms again later.
Canadian night crawlers seem to be the easiest accepted, so I think you're good there. I don't like the idea of not feeding them until they take the food, as my axolotl was an obvious sign of not taking it at all to the point of losing weight. I would say to try feeding the food that they're used to, or whatever food they will eat readily for a few days and try again with the worms in small pieces.
I'm not sure if I would recommend the feeder fish. You would need a whole separate tank to quarantine or breed the feeder fish, and I've read that some axolotls don't hunt the fish down. Some feeder fish can be quite fast and avoid being eaten as well, from what I've read.
I believe pellets to be a decent alternative for an axolotl that won't eat live food, but I am no expert. I have only owned 1 axolotl who I've had for a few months since he was 2.5 inches to now at 8 inches. He seems quite happy and is nice and chubby. I'm not sure how good the Hikari sinking carnivore pellets are, so I will be trying the salmon pellets from Ed's Fly meat soon since my stock is running low, and I believe those are the ones the axolotl colony uses. I think they are definitely worth it if you would try to try to get your axolotl on pellets and would rather get something locally.