Are you planning on catching food outside? If you are, there are risks you are taking. The insects may have parasites, or have eaten something that might be poisonous to the chameleon, or they could be hanging out in a place that has recently been treated with pesticides.
That said, if you plan on doing it (I must admit, I have done it in the past) I would try to go after insects that you know aren't poisonous, like hoppers.