In the winter it is hard to ship any insect and some companies won't ship at all in extreme conditions. Right now I wouldn't be able to get anything living shipped to me due to it plummeting to -20 C or more at night.
However, it is still possible to get insects shipped in more moderate cold weather. They can be shipped in insulated boxes with a heat pack, usually 48 hour heat packs. These help ensure the environment inside the box stays warm even in cold weather. Heat packs are basically small packs (about 3-4" square though size varies per brand) of chemicals that react to produce heat. They 'burn out' after a certain time, indicated by the type. (ie 24 hour, 48 hour etc.)
I don't know of any roach shipping companies off hand but check the businesses tab above for feeder suppliers or check the feeder section of the classifieds. These can lead to a local supplier or one fairly close to reduce shipping costs. Most places will have a toll free number or at least an email address and you can contact them about how they ship insects in the winter, live arrival guarantees etc.
Reptile care is relatively new to the pet world compared to say, cats and dogs who have been companion pets since...6000 BC or longer. Care is always changing as new technologies become available, new research is done etc. So techniques used ten years ago may now be considered inappropriate for reptiles.
Mealworms were a staple, as they are easy to keep, cheap and can be stored in the refrigerator. But research and observations from many experienced keepers of bearded dragons found they are not a good sole feeder for young dragons.
Constant researching and reading, is the best way to know what is best for your dragon. Basic setups are a great way to start but there are more than one way to keep a dragon healthy and thriving. Some can live for 10 years on crushed walnut or calcium sand and never have any problems..others die of impaction in months. There is more factors to consider as well. (insufficient heat can make it harder for dragons to digest, and ingested substrate spends more time inside..or if they are dehydrated nearly all the time, its harder to flush things out of their system. A particularly large piece can be eaten and lodge in the lower intestines and cause blockage. OR tear a bowel).
The important thing to keep in mind is risk factor. Crush walnut may only have a 10% or 15% chance of harming your dragon. (I am completely guessing on these figures, they could be higher or lower. Just putting them here for example purposes). Washed children's playsand is about the safest particulate substrate but it still has a risk..maybe 2-5%. Again other environmental factors can increase or decrease the risks. (prolonged dehydration for one). However non particulate substrates (paper towel, tiles, newsprint etc) have virtually no chance of being ingested thus extremely unlikely to be a cause of impaction or other similar problems.
Soil is good as its usually finer than sand and more like what they encounter in the wild. Though I would suggest soil and soil mixes be more for intermediate to advanced keepers..as it does take more consideration and planning to do properly. The soil can't be too damp as you don't want high humidity in the cage (bearded dragons do best with low to normal levels of humidity (30-60% with 45% probably best...humidity consistently over 60% can cause respiratory problems among other things). To read more about using soil as a substrate check the FAQ section of www.proexotics.com
Another thing I find is best with bearded dragons is feeding a variety of insects. For the first year the bulk of your insects will be crickets. They are just too convenient to not be a staple. Not to mention cheap to buy in bulk. A 1000 crickets costs maybe $15 or so and a hungry baby dragon can go through that many crickets in a week or two. As a dragon gets older (pretty much once they are over 10"
other insects can be added, like roaches, superworms, silkworms, small horn worms, butterworms, phoenix worms and other 'farmed' insects that don't have a hard exoskeleton. Keep in mind crickets still need to be gutloaded and dusted with calcium. This helps balance the phosphorous/calcium ration as nearly all insects dont' have the best ration..should be more calcium than phosphorous. So dusting in calcium without phosphorous or Vitamin A (but with vitamin D3) often is beneficial.
keep reading. Not just here, but other websites, any new books that go out, Reptile Magazine or other reptile based magazines (Iguana is another one and there are a few more but I can't think of the others off hand). Guest chat month we have here (starting in February and for every weekend in February, see above for schedules) are also a great time to ask specific questions of experts in the field. Past chat transcripts are also available so even if you can't make it, you can read the chat transcripts. (if you have a specific question...but can't make it, have a friend ask for you. It may even be possible to just email it to the chat coordinator who could ask the question on your behalf (keep in mind basic questions are most likely not going to be asked, or asked by somebody else so best to leave basic husbandry type questions or care questions for here. Unless its something more specific.)
Ok I rambled on long enough...
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PHLdyPayne