I'd avoid worms in general, most are nutritionally lack-luster(mealworms, superworms) or too high in fat(waxworms, silkworms, butterworms). I can't say from experience about pheonix worms because I don't use them, but as far as leopard geckos go crickets or roaches are pretty much what you have to choose from as a staple. I think roaches are the best, as they really are easier than crickets, and there are many species to choose from. Leopards should NOT be fed a regular diet of pinkies, they are extremely high in fat content and many will not take them. The only time I use pinkies is to fatten up females after breeding, and that's only occassionally at that. There are a few commercial leopard gecko diets on the market but I have never known a leo that will take them, and I'm suspicious of their value as a staple. The fact is if you are going to have an animal you need to accept the requirements for keeping it, and unless you are going to keep a crested or similar species then insects are going to be necessary, and roaches are pretty much the best. I have seen other random arthropods available from time to time such as pill bugs, springtails, locusts, etc, but none of these have been tested as a regular diet in comparison to crickets or roaches. If you are unwilling to provide the needs of a leopard gecko you should consider another species. Crested geckos are not all that expensive, captive hatched babies of the more common morphs are usually only slightly more expensive than the average leopard gecko morph, and Crested gecko diet is perfectly fine as a staple for them. They also aren't as jumpy as you might think, after some handling most adults are quite calm. Other frugivorous geckos like Gargoyles tend to be more expensive and require a bit more experience. Whatever you choose to do, please don't get a leopard and feed it something inappropriate, you will end up with problems that will cost more than the lizard in vet bills. Try roaches, believe me they are not as bad as you might think, I'd recommend dubia, as they are slow moving and non-climbers, very un-roach-like in behavior.
Added Note: Not to push you away from geckos, but there are many other easy to care for lizards that don't eat live food. Bearded Dragons can often be maintained on a commercial diet and veggies, and uromastyx are completely herbivorous. Small monitors like Ackies will eat canned foods. Iguanas are the traditional vegitarian lizard but I don't recommend them, they are difficult to keep and potentially dangerous. There is a reptile out there for everyone, evaluate what you want and do a little more research. I'm sure you'll figure it out.
