I just bought a leopard gecko and hes relly cool but I want some advice about feeding and stuff?

I just got my leopard gecko yesterdayat PETCO and its about 4 inches long and has kinda of a fat tail. anyways i was wondering about do they eat freeze dried mealworms? I think mine has been munching on a couple of them. Also when i got him from the store I set up his/her tank and fed it a waxworm and then it wouldnt eat anymore. Wad it full cause im worried about it and i want it to be healthy. Advice please!!!!!