They definitely need live food. Some pet stores sell crickets in various sizes. They are usually about $1 a dozen. There are also what are called pinhead crickets, but they are tiny, so you get less food for your buck. If you live in an area that doesn't get sprayed with pesticides or other chemicals, you can also catch small grasshoppers, crickets, and other insects. If you live near where you found them, local insects might be more familiar to them. You could even try small roaches. But, stay away from ants, caterpillars, and brightly colored insects, which can have toxins. Also, many beetles have toxins or irritants and due to their hard exoskeletons don't make very quality food.

Good luck and don't forget the water and soil/leaf litter.