Wow, it's awesome that the pellets are here! A new and healthier diet is just on the horizon...if he would eat it!
Weaning budgies onto pellets can take forever and be extremely frustrating. The best way is to do it in ratios: Every time you change his food, add in a few more pellets, then a few more, then a few more (about a teaspoon more every two days) and after a week, the ratio should be at about 25-30% pellets to 70-75% seeds.He'll probably only eat the seeds in the beginning, and beg for more seeds when he's finished, while ignoring the pellets.
At this point, do not give in to their begging for more seeds. Most birds will only begin to eat pellets after there's no other option.
This seems kind of dramatic, but that was the only way my little girl learned to eat pellets, and now she loves them!
Eventually, increase the pellets until they are 50-50 with the seeds, and finally mostly pellets, then cut out seeds entirely. Budgies can go for 2 days without food, so don't worry if they don't eat. They're usually inclined to take a nibble during this time!
After a few days or so with just pellets, you can add seeds back in, I currently have my little girl on 70% pellets and 30% seeds, if I had to estimate. Best of luck! It sounds like you're definitely on the right track.
As for veggies, just keep trying! Favorites are parsley or cilantro hung on the cage, shredded carrots, and romaine lettuce or spinach. My girl is very, very picky, and these are some of the only things she likes. Keep on varying what you offer him in different ways, too, and he'll eventually get curious.