As others said, your likelyhood of keeping one healthy is higher with an older tank (ie established microfauna).
If it helps, it's best to think of NPS corals as another fish - they require hand feeding to get their nutrients and thrive. It's best to feed them with a variety like what you would feed your other marine animals as others already listed. Additionally, I will add that calanus (frozen is great) is also a great feed choice - my opinion is that since they're smaller, it's a little easier for sun corals to grab and digest them. Reef chili and reef roids are also great and can be used to get them to open before their heartier meal. Same with oyster feast.
In my personal experience, they required a bit of nursing before they opened up regularly. I basted food right into their polyps for a while. Also, no need to take them out and feed them, I don't think that's really necessary.