Well, like most reptiles, about 90% of them die before they reach adulthood. So I have no idea how picky they can be. And you can get them onto new food sources. I just got the last of my babies that have hatched so far eating. I think it has allot to do with what they are offered when young, and thy get used to it. My adult male is a pig. He will eat anything.
People also offer them pinkie mice, but generally most experienced keepers think this is not such a good idea. I'm sure they will take something like this in the wild if they find them, but it is not a good healthy option for a normal food source.
I purchase most of my insects locally. I know a breeder who has a retail store front, and they do really good deals if you order bulk from them, and they just ad it onto their order. I do order stuff online sometimes, but you have to get a pretty large order to make it economical. They sell silkworms in pods now, with 40 - 60 babies in a cup, with food at the top and a lattice type material they can climb, so that is very easy to keep up with. I actually have 7 species of insects in my house a this point, domestic crickets, Acheta domesticus, mealworms, Tenebrio molitor, superworms, Zophobas morio, butterworms, Chilecomadia moorei, waxworms, Achroia grisella, phoenix worms, Hermetia illucens, (these are a "brand name" of black soldier fly larvae, and silkworms, Bombyx mori.
So I think it best to go with variety obviously. Instead of giving hoards of a less nutritious insect and loading the animal up with powdered calcium, it makes more sense to me to add in some insects that have a higher calcium content. My adult male is looking fat, so he gets no more supers, just a silkworm or two every other day. And my females that have laid 10 eggs each are getting some good weight back, and get all the butters (for the high calcium), supers, and silks they want. A good combination of high calcium, high fat, and high protein.