A gradual change is good but I find the boys eat more with the pellets as they are not constantly picking out the bits they don't like! It means they get a much better balanced diet and don't miss out on any vital vitamins and minerals. If you look at the top of this section of the Forum you can read a whole bundle of reviews of different food but in the end your piggies will find one they prefer.
I know people who have good experiences of Burgess, Harringtons and Science Selective but try a few and see what works for you. Just don't be tempted to buy too big a bag at any one time, or stockpile as the vitamins do degrade over time and become useless.