hmm im guessing the octopus you bought would probably be the common pygmy octopus , goes for around 8 - 10 dollars a piece. I've kept a few before cause i like cephlapods, best food for them like what some of our reefers mentioned is actually target , or if you got a budget better still, you can buy some nuisance crabs from fellow reefers to feed your octopus , im very sure some of them would donate them to you but yeah , feeding live food takes effort cause its gonna cost you a bomb , on travelling and keeping the food alive.
Cephs in short prey mainly on crustaceans and mollusks so yeah you shouldnt go wrong with the feeding part cause our super market is flooded with ready made cut prawns which you can feed your octo.
Another pointer is that they need full strength sea water , so any less that 1.024- 1.025 in my experience shortens their lifespan by quite alot. and last point , never add copper into the tank , copper = good game , can throw away your octopus life and your tank if you ever wanna keep octopus's again.
Good luck with your octopus