I would put a small amount of the pellets in his cage now and let him decideWe do have pellets. we are going to start with some alfalfa hay and see how he does with that and then work up to pellets. Thanks!!

You're right that bunnies don't do well with sudden food changes, but everything you can offer is a change from what he had outdoors. So I would keep doing the milk since it seems to be working, but provide water and hay and pellets to let the bunny make his own choices among them.