I could have sworn I posted here last night and my posts are gone!
If you have him eating pinheads, he may just not be interested in the food. Pinheads are TINY and as gesang said, 2 month olds should be pretty good eaters. In my post yesterday that mysteriously disappeared, I said that he could and should be eating 1/8" to 1/4" crickets.
I would also get that towel off of his cage. He needs all the ventilation that the screen cage provides. Just try to limit your contact with him and he will get used to his surroundings. The towel could make him seriously stressed.
Also, as gesang suggested, you should get him some live plants, like a ficus or an umbrella tree, that will help keep the humidity up in his cage, and I know my panther likes to munch on his leaves (which I guess is rare for a panther, but does happen) and you wouldn't want him munching on plastic, just in case.
I wouldn't worry terribly about his not wanting to eat right away. Some animals have a desire to eat immediately upon arriving in their new home, and others take a little longer. I would try putting some crickets in a cup in his cage and letting him go at them himself without you there, watching his every move. You could be making him nervous if you are standing there watching him. Count the crickets in the cup and then you will know whether he is eating or not. If he isn't eating by tomorrow, get some bigger prey items, as those pinheads are probably too small as it is.
