I'm a big tweezers fan too! I use two pairs, lol - one pair to hold the bug down and the other pair to remove the jumping legs! Before I got Lily I couldn't even pick up a tub of locusts or crix. I still hate crix, but I hand feed her the locusts now! You just get used to them and find a way to deal with them! As for waxworms - they are really soft and squishy and I love the feel of them!
Grasshopers are my guys absolute fave he grows wings and flys when he sees one. But other than that supers is all he will touch hates cricks, and any other worm.