I recently bought a Bug Napper, from zoo med, and that thing is awesome! It catches live bugs at night! My chameleons LOVE moths. With that bug napper thing its super easy! especially because moths gross me out to no end. yuck. I'd rather touch a spider than a moth.
For some reason mine won't eat roaches either! Which is strange considering in Hawaii roaches are like ants, you would think something that lives wild on an island full of roaches would eat roaches... but no.