Ya you can feed them no problem but make sure you freeze the fillets first to kill the parasites and watch where they are caught from because some areas around the fish may contain pollutants. They may actually be better than the shrimp as saltwater shrimp contains thiamin but no one I've spoken to knows how much for sure. I don't think it's too high of a level but it is still present.
I recently ordered a 1000 superworms in a box from www.bugorder.com,
1000 SW for $32.50 plus S/H for a total of less than $40 ... is a good deal !
Do they ship directly to your place ?
I tried injecting cold superworms with vitamins and it was so easy my 8 yr old did it. No special feeding required. Inject a couple of these each feeding and you are good to go. It ensures you get the proper vitamins into your fish.