Hornworms and silkworms are neither cheap or easy. Nor do they live long.
I made the mistake of buying some. The hornworms eat like CRAZY and my beardie seemed to get spoiled on them quickly. She began to ignore her crickets and roaches only after a few days, so I had to ween her off of them. They also poop constantly, and the stuff is sticky and hard to get off the bottom of the cup. :?
Silkworms require just as much attention, and are very delicate. They don't eat as much, but mold seemed to grow quick in their cup. They also put out silk when you get them out, which is messy.
Go with roaches. You won't regret it! Higher start up cost, but easy to take care of (and hardy)! Also, once established, you pretty much have free live beardie food.