Just in case, are you positive he is a male? (The roaming and reduced food intake just makes me think if a gravid female about to lay eggs. Although, males may also begin to roam and reduce food intake/become picky as he reaches maturity. I just want to make sure there is no possibility that there was a gender mix up.) If you are sure he is a he, then he's probably on a strike. What kind if worms are you feeding? If he will only eat worms high in fat, you need to get him to start eating healthier foods by not feeding them and only offering better foods like crickets, hornworms, silkworms, roaches, etc.
Also, you will not be able to buy live locusts in the US. They are illegal to sell, but you can go and catch some safe wild ones.