Ok, I know Denton...used to pass thru there 2 or 3 times a week on round trips to Witchita Falls. that area does have a lot of ag. activity in general. do not discount ranches & live stock areas either. I said be cautious around "agricultural areas", not just farms. one need not have a commercial farm or garden in their yard to pose a chemical agent threat to your lizard and it's food supply. just make sure you use ants from an area which are unlikely to have been exposed to pesticides or other chemicals ( like making sure your neigbor isn't using fireant killer nearby or something ).
you should have plenty of harvester ants around. I found them all the time up that way. they are the big ones that vary from red, to red & black coloration, and sting like an SOB so be careful!~do a web search for "harvester ant" or "Pogonomyrmex" to find some pictures to ID with.
but, it shouldn't be a problem confusing them with any other ant in Texas. they are the biggest of the red ( or red & black ) ants you are likely to find. they make their colonies usually in open pasture like grounds. they also clear all grass and other vegetation from around the main entrance, so there is a bare circular area several feet in diameter. you will also see the entrance to the colony ( mound ) circled by
tiny rocks.
take that shredded bark out of there now. that is not appropriate substrate for a desert dwelling lizard. it may contain microbes or other parasites ( common to those types of substrates ) that this lizard has no immunity to. instead get some play sand from Home Depot. it runs about $3.00 for a 50 lb. bag. that is enough to fill the bottom of a 40 gallon aquarium a couple inches. I usually use two bags to provide plenty of burrowing depth. and disinfect, rinse thoroughly,
and dry comletely, the aquarium before replacing that substrate.
the picture is too blurry. can you provide a couple more, including one from the side profile, and one of the complete underside? he looks like a Platyrhinos so far, but they are very similar to Coronatum.
not to rain on your parade or anything, but it's unlikely that any display you see from him while rubbing him behind the horns is because he's enjoying it. this is most definitely a defensive posture where he's trying to show you his horns, orienting them upwards or pulling them downwards close to his neck as to best defend himself against becoming somebody's food. I've seen it many times and I know it looks cute, but it's important to really understand the nature of the animal to care for it properly, instead of giving to it the emotional attributes we would like it to have.
but hey, I guess he >could< be enjoying it to a degree...after he's gotten very comfortable with you. you may also witness when you scratch the fringe scales on his sides, that he may dip that side down and move around....like a dog might do when enjoying a good sratching. but again more than likely not the case. this is another defensive posture against being scooped up into the mouth of a predator.
my previous horned lizard, after I had him a while, would kick his back leg on the opposite side when I scratched his sides. I don't know whether that meant he was enjoying it, but I can't find a good explaination for it as a defense either!
and I'm not saying it can't happen. I know that turtles and tortoises like a good rapid shell rub with the knuckles. but they are a little more intelligent too. if you've ever been followed around the yard by a Sulcata Tortoise...right along with the dog...you know what I'm talking about. just keep in mind you will see many displays that you cannot automatically attribute to the behavior you might expect from a domesticated and captive bred pet.
the fact is; if this guy came from the wild and has just changed hands recently, as I'm sure he did, he's most certainly not likin' a single thing you're doin' to him, with respect to being close or touching him. when you pet a domesticated cat, and it closes it's eyes, it means it is comfortable with you. with a wild caught horned lizard...it means something else entirely.
about catching the ants...I'm not sayin' Reptoman don't have a good idea there...but I didn't tell him how I do it. I use a one handed wire sifter/strainer from the Dollar General. scoop up ants & dirt together...sift, sift, sift...dump ants into old Country Crock butter container. works great except for with hard or very clumpy dirt. Cable has a method he showed me that just had me smakin' my head with astonishment...it was so simple. bury a medicine bottle to the rim near the colony ( works best along the pheromone "trail", if they are using one ), the ants fall right in by the hundreds! he's got video of it in action on the link he provided in the message below. scroll down to the bottom and click "c's misc video" to get to it.
you can give a few crickets here and there...I recommend pet store bought only!!! but use the smallest ones you can get...very important. also, even more important, you need to get this guy a nice UVB lamp...and shell out for the good one...not negotiable unless you want to build a nice big outdoor fenced in enclosure. I recommend at a minimum a florescent 8.0 or 10.0 ( UVB 8% or 10% ) kept at a distance no farther than 12", or, a murcury vapor spot or flood lamp, 100-160 watts, kept no farther than 2ft. ( like a Reptisun or Tex-Rex active UV )
make sure if you use a mercury vapor, and you're going to be around it all the time, you shield it somehow so it's not glaring in your eyes.
lastly, read every thing you can get your hands on, including phrynosoma.com and the messages on this forum...even if the title doesn't look like something your interested in. there is much to be aware of with respect to keeping horned lizards alive and healthy, especially if you don't have previous experience with reptiles. I really recommend that nobody who hasn't kept at least a gecko or anole keep one. I don't think they are for beginners personally. so, you have plenty of homework to do.
thanks for all the props there Lou...ya ain't bad yerself padnah! 
Mick