You shouldn't feed your beardie any insects you find in the wild. You don't know where they have been, what they have gotten into, or what they have consumed. Stick with hornworms, silkworms, superworms (if your beardie is big enough), and waxworms (for treats).
Mine actually does like worms. We have a vermicomposting bin right in my kitchen (no odor whatsoever). It's been going strong for 2+ years, and I know exactly what's in it. We offered a small red wiggler to see what the reaction would be. He gobbled it right down.
We stick to crickets & Reptiworms for protein BTW. I don't know what the nutritional value of earthworms is.