Finding things other than crickets which are appropriately-sized and wont grow out of size fast for a beardie so young isn't the easiest thing. If I were you, I would just stick to crickets and veggies for now, and wait until he's bigger to add other insects into the mix.
If you really want, I would recommend phoenix worms and silk worms. If you live somewhere warm, they can grow really fast though. Also, silk worms can get pretty pricey. Beardies tend to jump for joy for phoenix worms.
I've heard of people feeding small locusts. If you did that I'd recommend posting a forum asking about where you can get healthy locusts, how big they should be, and how to care for them.
You could start raising your own colony of roaches, which people usually breed themselves. Get a big tub, egg cartons, throw female and male roaches in there, and eventually you'll have a breeding colony. The con is that unless you bought a ton of them, they'd take awhile to breed sufficiently to feed your dragon. Also, it is in my opinion that most of the roaches in your colony would be too big, and you'd end up with excess large roaches and nothing to do with them. If you decided to do this, I'd post a forum to get some pointers.