I would focus on gut loading your feeders, to make sure they're as nutritious as possible, and less on what's a fatty feeder. If he's skinny from previous lack of food, he'll gain weight.
Buy some Phoenix Worms online or go to Petco/Petsmart and get calciworms (same thing=black soldierly larvae). Your challenge will be getting small feeders, I have rice beetle cultures that are exploding in numbers, see my ad "Feeders and fun insects to culture" I also have a small beetle culture that would be good for pygmies, it is not on my ad, email me at [email protected] for info.