Well I guess feeders are the safest food you can offer your Ts. But if you're thinking of catching insects, there is always a chance of it being exposed to chemicals such as insecticides.
Sometimes I see grasshoppers in our garage and I catch it and give it to my Ts. Haha. They happily accept it and eat it without hesitation. But yeah, as I said earlier, there are chances of it being exposed to harmful elements. So it's your choice. I just do that to give them variety in their diet.