Let it settle in as everyone has said, and it's not just not feeding it, don't touch it at all. NO handling until it has eaten for you, and try not to bother it, don't hover over the cage watching it or trying to get a peek at him.
I'd give it at least 3-4 days and then try feeding him again. Make sure the pinky is properly thawed if frozen, and it might help to cut a few small slits in the back so he can smell blood. Cutting the pinks helps with digestion as well.