Congratulations! :P Do you happen to know what species the frog is? Can you post a photo of your new friend?
The bedding sounds fine, and I'm sure a 10 gallon will be fine. Even though your frog is wild caught it still may be a good idea to sterilize decorations you get from outside. Rocks can be boiled, sticks can be baked at 350F for like 30min-1hr. Of course, be sure the decorations have cooled to room temperature before placing them in the enclosure with your frog!
Stress is a definitely possibility right now, but I'm sure your frog will settle in nicely.
If you could provide some photos of what you've got so far I could maybe give you some tips on what to do differently. You want the substrate to be somewhat moist, not soggy by any means, just moist enough not to dry out your frog's delecate wet skin. Provide a large water dish for your frog. Provide plants (I think live are best, but plastic will work), branches, and lots of hiding areas. If you put black or dark colored paper on the back and sides of the tank it will make your new friend feel more secure and reduce its stress levels. You will want to have a warm & cool side to your tank, these temperatures will depend on what species of frog you have.
Wild caught insects are risky if you live in an area where pesticides and fertilizers are used a lot. I catch moths on my porch at night for my grey tree frogs, and (fingers crossed) nothing bad has ever happened. If you're going to buy feeders get crickets. Do
not feed your frog super worms, wax worms, or meal worms. These worms have lots of shell, very little meat, and aren't very nutritious. This can cause impaction (constipation) in your frog, which can lead to more serious health issues and even death. If you are going to breed your own food (which is what I reccommend if you find yourself feeding more than a couple of frogs) I would suggest roaches.
Yuck! I know. I hate roaches, too, but I breed them for my critters because they are easier, cleaner, and less smelly than breeding crickets. They reproduce like crazy and will eat pretty much anything. The biggest advantage is that they don't chirp like crickets and they are way more nutritious.
I like to use forceps (tongs) to feed my frogs, because now they understand that I am their food source. They happily greet me when I walk in the room by crowding up at the front of their tanks waiting to be fed.
Also, get a $25 wall outlet timer! It makes things so much easier when you don't have to remember to turn your frog's light on in the mornings and off at night.
Well water would typically be okay, but I really don't know about the salt content. Better wait for someone more knowledgable to answer that. I think I would go with bottled spring water from the store for now. Don't use distilled water, it will actually leech vitamins and minerals from your frog's skin if your frog soaks in it. I do mist my tanks with distilled water because it doesn't leave water marks all over everything.
Misting with distilled = ok. Water bowl with distilled = NOT ok. And of course tap water is a no-no. Frogs do not tolerate chlorine and other chemicals found in tap water. If you find yourself needing to use tap water you will want to treat it with tap water conditioner which you can obtain at any petstore or order online.
Again, that depends on the species. Probably you won't need to provide much heat. Just a low watt incadescent on one side of the cage will probably be sufficient.
They will need to be alive. If you ever get your frog used to eating from forceps it may be possible to "trick" it into eating dead food, but until then your frog will almost certainly only accept things that move. Frogs can detect movement very well, and that is what triggers their feeding response (that and tickly feelings on their noses :P). When you mist your tank you might even notice your frog lunging at water droplets when they move XD
That's what we're all here for, no worries

Good luck!!!
Be careful about putting your frog outside in a little glass box. It's very easy to end up with a cooked frog if it gets too hot outside or if the tank gets any direct sun exposure at all. It would probably be much less stressful to the frog to just leave his tank in one place and provide a low watt heat source on one side of the tank.