An occasional treat or reward is a nice thing for a bird. Remember, if the treat seems minuscule to you, recall that you are much bigger than your bird, so adjust the serving accordingly. Some birds will just refuse to eat pellets outright. There's nothing to be done in a case like that. There are various opinions on how to convert a seed-eater to pellets.
Cockatiels are notably the most stubborn.
The process can take anywhere from two weeks to two years. You begin by mixing in some pellets with the seed and gradually, decreasing the amount of seed and increasing the pellets. Vegetables and fruits have to be presented daily. Some birds will not eat sliced carrots, but will eat them shredded or whole. Keep this in mind when serving the bird.