The Mandarin is a fascinating fish, as is the Scooter Blenny, which has similar feeding behavior.
In addition to the 3 YT Damsels wasn't there a Neon Velvet Damsel in there too? That fish is as aggressive as the 3 YT Damsels combined. That is the fish I would remove and keep the YTs, if wanted. (The YT Damsel is great at eating troublesome Flatworms, keeping them from ever becoming a problem. )
There are several easy fish trap methods, the "Pop Bottle Trap" being the simplest and first one to try. Google it. There is also the nighttime easy catch method. See the Reefkeeping Tips for the link to that discussion.
Copepods are very, very tiny. The Mandarin would need to eat hundreds daily. Fortunately there is a much larger bug that grows well in our tanks, the Amphipod. It looks a bit like a shrimp. See the pic below. The largest Amphipod I have ever seen was about 3/8". The younger ones make really good food for omnivores like the YT Damsel and carnivores such as the Mandarin.
As far as creating a tank environment conducive to growing more bugs, we have had discussions about that too. See the Reefkeeping Tips for the links to those discussions.
Aloha,
Mark