Yes they will eat crickets with glee. You could try waxworms, but I have never had luck with them. In the summer I collect spur-throated grasshoppers and field crickets from our fields. My female loves those. I would also try moths, or maybe even silkworms or hornworms from an online dealer. In the wild most of the diet is insect larva. Just remember to dust the prey items with a vitamin supplement.

Best of Luck.