Give the wax worms to wild birds. They are lizard junk food.
Good one to avoid while the beardie is little is mealworms - lizard junk food ,though they do love the worms, pupae and beetles.
Best live feeder options are :
Calci-worms = calci-gents = phoenix warms = black soldier fly maggots (but you give heaps per feeding session).
silkworms (for a 3 - 5 week old beardie I'd recommend 1 inch long silkworms).
blow fly maggots (but you'll find they'll pupate and turn into blowflies FAST) , if your hatchling likes them it'll eat LOTS per sitting.
Crickets (gutloaded with high calcium green leafy foods and lizard pellets) and dusted with calcium powder , for a 3 - 5 week old I'd recommend 20 day old - 1/3 sized crickets.
Roaches see crickets.
Termites are eaten by wild beardies , very nutritious.
Three live insect feeds per day for little hatchling like your's is IDEAL , handfeeding will also help develop a strong trusting bond too , try to associate petting and snuggles with the experience if the little guy will sit still long enough.
Here's my thread on Peppa and Toothless : you are welcome to nick some ideas from there.
viewtopic.php?f=6&t=221328
If you only just brought your new spikey child home , it's likely it's suffering relocation stress , and will be unsure of it's surrounds , scared , flighty , and off the tucker for a few days to a week. They soon settle in to the new humans, new enclosure, new foods, new sounds, new routine and your's will likely be eating you out of house and home in a few weeks.