I think it would be ok once in a while as they probably eat them sometimes in the wild, too.
I personally don't do it as I don't think they're a very good source of the foods aros need ... too much bones and fur and not really enough protein (fatty too!)
I could kill it before or buy frozen pinkies but it's not the same.
It's kind of a show although little bit scary.
Have a movie of a friend RTG in 4 parts eating a mouse.
Will post in another thread.