That's VERY young for a pig to be sold, unless the mother had problems or died. They shouldn't be completely weaned from mom until 6-8 weeks at the absolute earliest!
The breeder should also have given you diet guidelines on feeding a pig this young. If he suggested the shredded wheat, I'd not bother with anymore questions to him.
You could use a good milk replacer if you have one available, ..but whole goat's milk is easier to find, keep and use. Start adding in some Gerber's Rice formula baby food too.
You can also find the pellets you'll be feeding him as an adult, and start introducing them now. At the zoo, we use Mazuri brand, but they are all pretty much alike IMO.
Don't worry about weight ...at all at the this point. This guy is underweight and needs to pack it on. Feed him as much as he'll eat. It's practically impossible to get an overweight baby. Obesity is usually a problem of adults. Your goal right now is just making sure he survives to adulthood!
Keep him warm and comfy.
I've used a playpen for babies. Keeps them from getting into trouble. You also want to spend a LOT of time with this guy. Pigs are very social, especially as piglets. They need constant companionship, play, touching, bonding, etc.
Leaving them alone for long periods at this stage can possibly result in an adult pig with social problems.
If you don't have a good exotic vet, NOW is the time to get one. When the pig has diarrhea (and this happens sometimes to babies), you don't want to be calling around looking for a vet. I'd get an appointment and get your pig looked at RIGHT NOW. He can give you a good idea on how much body weight you need on the pig at this age ...for it's build, he can point you towards a good diet and set you up with a healthy pig.
He'll also set you on the course of vaccinations that your pig should have. You also want to deal with the subject of nuetering him too (the pig, not the vet!
Here are some websites, but you might also want to go out an pick up some books too.
Most babies grow up healthy and whole, but evey now and then you get one that just doesn't "thrive". It's a reall struggle to keep these small, fragile, underweight pigs alive. It's been awhile since I was weighing pig babies, but yours sounds awful light at this age! I keep a close eye on him, and get a good vet's advice for reassurance. Trying to learn by doing over the internet can have it's hazards.