I would not use millipedes as food for herps, especially if they're brightly colored (have yellow, orange, etc. on them). Many millipedes are toxic to most animals, so I would avoid using them as food.
I wouldn't use them. A lot of millipedes exude poisonous liquids and gases as a defense, making them toxic to some animals and/or capable of leaving caustic burns in sensitive areas of larger animals. That and if you're finding them, you have no way of knowing they've been exposed to any pesticides, insecticides or other things that could be harmful to your animals.