If you can find what their diet is in the wild, you may be able to supplement it. (ie, some butterflys wither away without the nutrients they get from sponges. Brightwell aquatics makes a sponge supplement now)
They're a very delicate species, and the secrets of success with these are yet unknown. I wish you luck in finding that; it would be fantastic for someone to figure it out.
Other pencil wrasses (notably Pseudojuloides ceracinus) has seen captive success without any real special attention.