I do something similar to what Mercedez does. I start by mixing pellets with their seeds for a few days or weeks. Then I start gradually reducing the seed mix. Or, if I'm pretty sure the bird knows pellets are food and just doesn't like them, I'll do the same introduction phase and then I'll just eliminate seeds except for a half teaspoon or a teaspoon(depending on size of bird) late at night. Usually they go through a pacing and screaming phase and acting like I'm starving them to death and then they cave and start eating them. I also make sure to add high vitamin A veggies and/or sprouted seeds most days too. Their options are healthy, healthy, and healthy.
They get veggies or sprouts along with pellets in the morning, then bowl change and pellets in the evening with just a few seeds. When I'm doing a diet conversion, I do weigh them every day and I do expect a little drop in weight. But I monitor them to make sure its not an alarming amount. I don't let them starve themselves to death, but I'm not apposed to letting them get good and hungry for a few days for the sake of getting a healthy lifetime out of them. Make sure you have a gram scale and are able to use it before getting too forceful with the pellet conversion. I did have one little cockatiel that simply would not eat pellets in any appreciable amounts period. All my other birds have converted to including them as at least a portion of their diet.