freezing crickets yourself probably will result in squishy icky crickets. Not sure if your dragon would eat them that way. I can't see of any other reason you can't do this, so give it a try.
You can also try silkworms, horn worms (not wild caught ones though, as these will be toxic. Farm bred horn worms are fed a special diet which doesn't contain toxins). Butterworms may be very easy for you to get in Brazil, they originally come from Chile which is much closer to you than it is to us in North America. Normally the butterworms imported into the states are specially irradiated to prevent them from pupating and thus, becoming adults. These are great feeders. Often they are sold as fish bait but now have been added to the reptile feeders. Other good worms are fly larvae, such as phoenix worms (black soldier fly larvae) or other 'maggot' type larvae, as long as they have not been harvested from meat products, which may pose a risk of contamination to things such as salmonella, e-coli and other harmful bacterias. Most comercially farmed maggots are safely raised on non animal products (ie mulch) or sterilized feed.
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PHLdyPayne