I'll get yelled at if I don't say "yes it is fine" here, but let me make my constant comment when this question comes up... (warming, personal opinions to follow!)
Some breeders tend to feed mealworms because they are easier to keep and feed in large quantities. Kids living with their parents will feed mealworms because mom won't have crickets loose in the house. So why feed anything else? Why are crickets still so widely available? Crickets are different nutritionally and offer something that worms do not: the hunt. Remember that these geckos are predators, they hunt for their food. Think of it this way: a dog is both a predator but also a scavenger. In their natural environment they are ok with find food left out and eating it (scavenging) so putting the food in a bowl isn't that different. But a leopard gecko eats live prey, running around prey, is it fair to them to put it in a bowl? For us, we feel strongly that the psychological health of the gecko is better served allowing them some exercise in hunting. (Yes, we watched too much Croc Hunter, but he knows his stuff.) Besides, you would miss the "hunter aspect" of your gecko. Anyone here will tell you that it is too cute to watch them stalking, slinking their tails back and forth and then, just before they strike they wiggle the tip of their tails and CHOMP!
That being said, you can also use different species of worms as treats (fed with tongs if necessary) Waxworms are common, silk worms are good too. Back in the old days, people would catch moths and stuff at night and feed them, but you really don't want to do that these days due to pesticide use. Hope that helps!
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0.1 Albino Leo Gecko
0.1 Crested Gecko
1.0 Dear Boyfriend
Departed: Harvey and Spock