Honestly, most types of caterpillars will do the trick. Waxworms are the most common, I think, but butterworms and horned worms are also relatively common. If you can't find any, superworms do have a relative high fat content.

That said, it might be best to try to focus on just getting him to eat more if you're worried, and keeping him at a cooler temp if possible. Mine are usually very receptive to food right after I wake them up.