I wouldn't recomend it. I used to feed the oscar in my avatar gold fish, comets, frogs, lizards, worms...
then his poop turned white and stringy. by the time I got him some medicine, he was swimming backwards. He stopped growing, and about 6 months later, he developed HITH, which nothing seemed to help (the hexamita must have damaged his intestines to the point of no nutrient absorption). I finally put him out of his misery. Wish I would have stuck to quality pellets and freeze dried and frozen treats.
I will never feed another fish anything alive again. The benefits (if any; entertainment?) are definitely outweighed by the risk.