You don't have to feed bugs if you prefer not to. They are usually used as treats because they are high in fat. As long as your glider gets protein via meats like chicken, boiled eggs and/or yogurt, he will get enough.
I actually just bought a 7oz bag of freeze-dried meal worms off of Amazon for $5 and my glider loves them and they will last a long, long time.
Just make sure you don't grab any bugs from outside because they may have ingested harmful things like pesticides that will make your glider sick.