Alan,
Are his temps good? They should be around 32-35 degrees at the hot end. Also, is there a UV globe? I'm guessing the dragon is only a hatchling / juvie so it should be fed on size Small crickets. Also, they do love roaches.
Simply drop the crickets / roaches in and leave the room. If the room has a door on it, shut the door on your way out. Don't go back in for about 20 mins just to give him time to settle down and then eat.
If you are using breeders choice or similar for substrate, the food items may bury themselves down and he won't get to them quick enough. I recommend you have him on paper-towel substrate. For my tiny water dragons who are fussy eaters, I go one step further and masking tape the paper towel on every edge so the food items cannot get under that. Be careful if doing this though because I've heard people on the Yahoo groups talking about a snake that got wrapped up it masking tape and tore the skin off, etc.
Another food you could try is the puppy pal dog food. It has a strong smell and all of my water dragons absolutely gulp it up. They love it. Just put an amount about twice the size of the meal you think he could handle (or look at this stomach size and multiply that by 2). Place this on a plastic surface (milk bottle lid is perfect) in his enclosure and leave there (overnight if necessary).
If he doesn't have a UV tube, I suggest you get him out into natural unfiltered sunlight ASAP, meaning today. Get him in a nice warm sunny spot (not too hot), give him a chinese container for water and leave him there for about 2 hours. Bring him in while the sun is still warm and try to feed him then. I find some of my fussy dragons will only tend to eat after they've have a "UV re-charge" outside. I also suggest that you take him outside into natural sunlight about 3 times a week. While UV globes are ok, I don't rely on them as the main source of UV for my lizards. They are good for small periods up to around 2 weeks when bad weather might prevent you from sunning your dragons, but natural is always best.
If your dragon's enclosure is in a high-traffic area of the ouse (where a lot of people are), I would move it to a quite, rarely used spot. I have found that my water dragons have been the most high-strung as hatchlings of any dragons I've kept (Eastern Beardies, Eastern and Gippsland Waters, Painted Dragons, Black Soil Bearded Dragons). They do well in spots which are not prone to noise or a lot of movement.
I also find they respond better to activity that might go on around them if they are up off the ground. I once had an EWD enclosure on the ground for about a week and a half while waiting for new shelves. Their attitude and appetite greatly improved when they got up to their current position off the ground.
Well hope that helps, this is all I can think of right now mate - let me know how it goes.
Simon Archibald