Should have set the tank up before you got the animal, but I can't think of a single one of us who probably hasn't done the exact same thing at one point or another. I know I have.
Don't be too concerned if he doesn't eat right away. Try not to disturb him too much. Just make sure the environment meets his requirements and leave him alone for awhile. He's probably been through a lot with all the move and new environment, and you coming in and staring at him so often probably isn't helping. Give him some time to get used to you and his new surroundings.
If he's still not eating after a few days, take him to a herp vet.