Only problem with feeding wild caught insects is that you don't know what parasites they might be harbouring, and also whether they have eaten or been in contact with anything harmful such as pesticides. Sandrachameleon has info on her blog about feeding isopods (woodlice and pillbugs). The odd one or two of these from the garden will not do any harm as long as the area they are in hasn't been treated with any weedkiller/pesticides. You can set up a breeding colony of these to feed your cham!