If it's only a small baby I'd recommend turning it back out into the wild (preferably where there's no ants). Baby lizards need a far more varied diet than you can offer them in captivity, and they also need sunlight and proper temperature and humidity. They are actually very fragile animals.
If you do decide to keep it, it will need food everyday. Temperature is critical, and this depends on the species. If you are not sure, go for 90 degree tops during the day and 70-75 degrees at night. Moisture is also important. Most anoles, geckoes and skinks will need some humidity and access to drinking water. A lightly damped small sponge (like 1" x 1" X 1" piece) placed on a clean plastic lid from a yogurt tub, for example, would be ideal. Small reptiles often drink dew, condensation and raindrops rather than standing water so I'd recommend getting a spray bottle and lightly misting the cage in the morning to form droplets on the glass where the lizard can drink them off. Be sure that the cage get can so air circulation (but not so much it drops the temperature) and isn't too damp, or mold, bacteria and fungus will grow.
Lastly, if you caught this animal in California, be very sure this isn't a protected species, since California has the highest number of protected reptile species in teh States. While that's not likely it's portected if you caught around your home, it's important to be sure. If the species is protected you must surrender it to an agency that is allowed by law to handle and reintroduce protected species, such as an ASPCA or state certified wildlife rehabilitator.