The best way to put up some healthy grames to your guys is to provide a veried abundant diet, i would avoid the wax worms, think for a second, if you were trying to gain weight yourself you could do one of 2 things: Either got o Mc Donalds every day and Eat as much fat as you can, or eat a LOT of healthy food, you'd gain weight both ways, but eating just fat you´d also probably end up with heart and liver problems, and so would your animals... so I would sugest not to think of it as "fattening" them, but instead, to gain healthy weight!!
Leopards eat a wide variety of food items, sadly most people usually just offer one or two kinds of food, they can eat: Crickets, Grasshoppers, Dubia Roaches, Earth roaches, Madagascar Roaches, Mealworms, Silk worms, Phoenix worms, Horn worms, Locusts, Super worms, Wax Worms, Pinkie mice and more...
Of that list the wax worms and pinky mice are very very fatty and should only be given very rarely, or be avoided altogether, I personally believe they don´t harm them if given as a ocasional treat (no more than once every 4 months or so).
If you are really looking forward to get them a bit fatter try buying a variety of roaches, crickets and healthy worms, gutload and dust their food and try offering food every day, you´ll see your geckos happy, healthy and gaining weight pretty fast!! Weight them and start a varied abundant diet and weight again in 30 days, you´ll be pleased with the results