You can keep them in wheat bran. I would personally recommend keeping them in oats or highly nutritious gutload. Oh, and make sure to keep them hydrated, I've read that if you don't it causes cannibalism. :shock:
I use rolled oats as my substrate for the Superworms, I also add Bok Choy, Carrots, Potatoes, Collard Greens and any other leftover veggies from Havoc.