Not long ago I noticed the same thing about my 08 Anery. She would take the pinky, but not look as though she'd eaten. I started giving her two pinkies and that filled her a bit better, however recently I've upgraded her to fuzzies (more along the lines of the peach fuzzy, please see next paragraph) as the bulge from the two pinkies only lasted about 24 hours. The fuzzy works great for her now.
I am not, however suggesting that you take your baby from two pinkies to fuzzies. You would need to be absolutely sure that the fuzzy is not to big for him. This is a good source of
information I found some time ago. Scroll down to the feeding part and you'll see a chart that has the different mice sizes.
I do hope that helps.