I've heard that many frogs seem to like wax worms, but those are high in fat and low in nutrition: frog junk food. They shouldn't be too bad as a treat though. Especially since I don't think greys have as bad a problem with obesity as dumpies do. I hear rice beetle larvae is good for small frogs. Aphids would work, but you'd want them from plants that have not been sprayed. Or you could try a bit of a nightcrawler. You probably should avoid superworms and mealworms unless they've just shed, both are very high in chitin and can cause impaction.