I say that for the most part they should eat a high quality pellet, like 80% of the time. I feed mine the ocassional earthworm and tetramin jumbo food sticks, krill, and shelled peas. They love it. I would be cautious about feeding different bugs from outside as they could make them sick. I don't take any chances with my babies.
I go against the grain i suppose. I had my oscar mainly on pellets before, but now that he is on shrimp and smelt (injected with veggies and garlic) his color is MUCH better than it used to be.
They will eat almost anything, just keep it varied