I second ZuPreem FruitBlend, the XS canary size is the best size for budgies.
I agree that it's the easiest food to get "seed-addicts" to eat and had great success with my own finicky princess.
Remember that seeds to pellets is a gradual process, you'll want to introduce pellets into his diet by replacing a small amount of seed with pellets each day. It's important that even though he eats the seeds and begs for more (while ignoring the pellets), you mustn't give in, so he learns that unless he wants to be hungry for the rest of the day, he has to eat the pellets. Eventually you'll get to the moment of truth where all his food is pellets, and at that point it's ok to leave them for 2 days even if he's not eating--budgies can go for 2 days without food. If at this point, he's still not eating, give a few seeds and try again. Don't give up! Even if it seems to no avail at the beginning, as soon as he gets curious and begins to eat it, you'll know, as pellet-poop is a different color than the dark seed-poop
Good job with the veggies, it's good to hear he likes wet lettuce. Make sure it's Romaine lettuce or mixed greens, as regular iceberg doesn't have many nutrients. Budgies also tend to like carrot, either shredded, sliced, or whole, fresh parsley or cilantro, bell pepper, and corn. You can also give fruit as a treat, like slivers of apple or grape halves. My little girl's favorite fruit is pear.
I hope this helps and I'm glad you've decided to change your little one's diet, it might be difficult at first but you will have a happier and healthier budgie!