Record the weight. Learn what is normal for your Grey - there will be small weight changes over time. Small losses - a downward trend for three days will call for a trip to the avian vet. He should be seen by the vet immediately, if there is a large loss on any one day. To accustom your Grey to variety in shapes, colors, sizes and textures, it is important that he be exposed to small quantities of pellets other than the base pellet you have chosen.
Samples are readily available from most of the bird food companies.
Put a teaspoon or so one of the sample pellets in with the base pellet. He may like one sample pellet better than another. Experiment to see which of the sample pellets he likes. There is no need to buy a large quantity - you may find he hates the sample. The pellets I recommend as a base pellet are Harrison's, Hagen's and Ziegler's.