Pellets are good, yes, but the more variety of healthy foods you can feed them, the better.

I've found that they love broccoli. Lucy especially likes to shred it to millions of pieces.

Even when they do seem to just be playing with the food, they are eating it.
I also dice up a piece of carrot into tiny semi bite-sized pieces. I sometimes shred it for them too, and they seem to enjoy it that way.
I also feed them leafy greens. Though it varies, it's usually along the lines of romaine and kale.
And it is indeed best to have food in there at all times, since birds have high metabolisms. Fresh water should be provided at all times too, but I'm sure that one is a little obvious.
