Awesome! Congratulations on your new baby!
He's only 4 months old, so it's ok for him not to look too interested in veggies. Cheryl does give her babies veggies, though, so I would just keep putting bowls of greens in there with him every day. Eventually, he'll eat them!
I would recommend taking him off the sand until he's bigger, but there is some debate about that. Generally, even those who keep their adults on sand agree that babies shouldn't be on sand. They taste things a lot. Of course, if you keep an eye on him I'm sure you'll catch anything going wrong.
I wouldn't worry about him being skittish right now since you just got him yesterday. I'm sure he's stressed out from shipping and being in a new place. I'd let him settle in for a week or two before you try to start holding him and getting him used to you.
Good luck with him! Pictures please!