I am working with Mountain Horned Dragons, Acanthosaura capra, and the mainstay of their diet is also nightcrawlers. I have had success feeding them roaches, silkworms, and occasionally, pinky mice. To cut costs a bit I have set up a tub for vermiculture. It's pretty neat because I toss most of my food scraps in to feed the worms and as they grow and reproduce they are fed to my babies.
I have tried both European Nightcrawlers and Red Wigglers and have had some success with both. I purchase my worms by the hundreds from kazarie.com/. Kazarie raises worms for fishing and for pet food so if you order from them specify that they are for pet food and you won't get the ones raised on horse manure.
Their site has a lot of good info on worms. Another really informative site is Happy D Ranch Worm Farm at www.happydranch.com. They have several good articles on vermiculture.
Bottom line, I agree with the other posts that the worms are a well-balanced food. I wouldn't worry too much if they turn up the nose at other offerings.
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Marcia - FroggieB Dragons
www.froggieb.com/MHDHome.html