First off, I would change the mix of veggies you're giving him. A good list to look at is the Nutrition Content section of www.beautifuldragons.com/
He needs greens like collard, mustard, turnip greens, endive or escarole. Those are far better than romaine lettuce, which has little nutritional value. Cut back on all the fruits to maybe just a couple times a week.
Now, if he's just a baby it's kind of normal for them to sometimes not want their greens at first. What you need to do is offer the veggies first thing in the morning and wait on the insects until later in the day. That way when he gets hungry he'll learn he has to eat his veggies. It's just like a little kid, huh? 
Also, try to get him off those worms. I'm assuming you mean mealworms or waxworms, not silkworms? Silkworms are the only worm I would endorse as a staple. Waxworms are too fatty, it's like you're letting him fill up on candy and so of course he won't eat what's good for him! Mealworms are not good AT ALL. Very little nutritional value, and can cause impaction in babies quite easily. So unless you're using silkworms you need to break him of this habit. If you try to offer veggies and crickets, but you cave and give him the worms he wants, he'll never want to eat the good stuff.
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Amanda
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2.0 bearded dragons (Ocho / Domo-kun)

0.1 kingsnake (Rio)
0.0.1 tarantula (Otto)
1.0 ferret (Playstation)
1.0 cat (Wally)
0.1 dog (Tima)