Here are some video clips of Cyra and Gwyn eating meal worms, crickets and a wax worm.
Crickets: I found these very difficult to deal with at first, smelled bad, and did not live for very long. I soon switched to mostly meal worms.
Since, I have been buying crickets on a regular basis to keep a variety for the girls. I am now more experienced with them and they are quite easy to feed.
Meal worms: These were very easy to handle, would not die for weeks (longer if kept in the fridge), and did not smell. When I get meal worms I keep them in a container with a mixture of oats, bran, and wheat germ so they are properly gut loaded. 
Both Cyra and Gwyn seemed to like the meal worms. Gwyn would eat them out of a dish but for Cyra I would have to place them in front of her as she likes to hunt them on the run.
Wax worms: These are meant to be a treat to Leos. They are very high in fat. I give them wax worms every once in a while but I find that they are expensive and die very quickly. 
Silkworms: The only other food I have offered to my Leos are silkworms. These are very nutritious and do not have a hard outer shell as meal worms do, making them easier to digest.
I had to order silkworms and their food online (they only eat mulberry leaves or the pre-made food made with mulberry leaves). They lasted a long time but were higher maintenance. I also tried a cheaper method of buying the silkworm eggs on eBay. After a few weeks some did hatch but they were so tiny. I was not able to keep them alive long enough for them to grow big enough to give to my geckos.
Cyra would not eat the silkworms so Gwyn ate the silkworms and Cyra continued a diet of crickets and meal worms. I have not ordered the silkworms again but would not hesitate to do so if I had extra money lying around.
