What I did with mine, is that I bought a tub of mealworms because I couldn't get mini mealworms, and some of them pupated before Daff could eat them. I put the pupa on a "bed" of bran, and waited for them to turn into beetles. The beetles cannot fly, or climb up the sheer sides of a plastic tub, so in an old mealworm tub is fine. Once they start to turn into beetles, you need to add a bit of veg (eg carrot ends, apple cores) so they have water, they'll eat both the bran and the veg, but if the veg is in there too long take it out and scrape off all the bran (you can't see the eggs without a microscope).
Every once in a while, use a new tub filled with fresh bran (or plain porridge oats, or similar), and transfer only the beetles to the new tub. Wait and keep putting in a bit of veg, replacing when it looks old (or before it gets mouldy). The movement of the beetles and/or baby mealworms will cause the veg to sink, so you'll have to "stir" it a little.
The tubs with the baby meal worms will appear to have no life in for a bit, but then you may notice that when you stir, the bran moves where it shouldn't by gravity. This is the baby mealworms, they are VERY small at first, so they are very hard to see, but keep feeding and you'll be surprised to see the whole tub alive one day. It takes about 1 month (or perhaps a little longer) to grow them to a size that your leo will be interested in.
If you grow too many, you can feed them to birds (some of which will only take live worms for their young), so they're good for your local bird life, or give/sell them to other local friends who also have pets that eat mealworms. (Or some people actually eat mealworms themselves, apparently they're good for you):shock:!
Hope this helps, let me know if you've any more questions.
. Just put your zip into Mardy's link and there you have it.