I do have shrimp pellets but will he eat real baby shrimp from the can type thingies?

A goldfish would try to eat anything that fits into it's mouth, and shrimp is a treat so don't use it as a staple diet. BTW I suggest you try sinking pellets especially pro-gold or omega one which I am currently using and experienced omega one to be the best for growing fishies, and pro-gold to be good for the swim bladder adverse person.

That's definatly the way to go. I switched my fish to pellets from flakes about six months ago and I see a huge difference in their health. They may not realize what the pellets are at first, but trust me, after a few days they will gobble them up!
Good luck.

Ok. I'll try to start giving him a few shrimp pellets a few times a week. Is there any other treats that I could give him sometimes?

Veggies and fruits are good, you could try those once in a while.