Most people promote feedign outside the enclosure. This is to ensure the tegu doesn't get substrate mixed into his food as ingesting substrate can cause impaction. My more practical solution has been to put a slightly raised shelf (2" above substrate) and feed on this shelf. It's worked perfect for me for a few years now...
As for what to feed the Tegu... variety is the spice of life...
I rotate through Ground Turkey, (frozen thawed) hairless mice, (frozen/thawed) chicks, beef liver, chicken/turkey gizzards, live fish (Dempseys or Geos, depends on what I've grown out), scrambled/soft boiled eggs, etc, etc, etc...
I buy Tegu food on average around $3 per pound...
My adult Tegu (10+ lbs, 50") eats approx 1/4 lb of food per day in the summer... a little less per meal 2~3 days a week in the winter...
It's good to offer them fruit and/or vegetable from time to time, if they eat it then add it to thier diet... if they do not eat it then don't worry about it...
Young Tegus will eagerly eat any kind of bug, but as adults, bugs are too small to get much interest.