Hi! My leopard gecko only ate them once, and that was in Orlando in the hotel room after I bought her at a show, so I think she hadn't eaten in days. As soon as we got home...no deal. I do know leos like to hunt down their food, and I've had spotty luck getting her to eat out of a bowl. :?
They are not harmful to leos, but I would feed your Leo something else as a daily staple. How old is your Leo? If you take a look at his poop after he has had the Phoenix worms, see if there are whole worms in there. One or 2 whole worms is ok, I always figure they ate one too many to digest, but if you see a few then they may just be too hard to digest. You could also surf gecko forums and see what you find there.