I actually like the fact that rolled oats are big enough to not pass through the strainer I've got. It allows me to separate the old broken down substrate (which resembles sawdust) from the mealworms and the remaining good oats.
I keep the floor of my container covered with about 1/2 inch of good oats and the mealworms aren't too difficult to find. I only use about 20 mealworms a day though so they're not all that hard to separate.
One nice thing I've also noticed is that the adult beetles like to grab hold of the strainer's edge, thus it becomes relatively simple to sort them out from the mealworms and good oats when cleaning up the substrate. Unwanted beetles just go down the giant porcelain whirlpool.