How much does your new hatchling weigh ? (or how old did the breeder say he was ) ?
Photos of him and the setup and the uv and basking lights and tank you have him in will help us guide you and we can head off any problems before they become problems.
Buying your live insects from a local pet shop is a very expensive way to feed the hatching and pet shops rarely care for the tubs of insects properly , ie provide carrot chunks to provide a source of moisture or food to them, and often the tubs have many dead or dying insects in them.
I suggest buying your live insects online and in bulk (enough to last a few weeks between orders) , good sources (for mailorder .... cheaper than buying from a petshop)
BSLF :
http://www.biosupplies.net.au/black-soldier-fly-larvae/ and
http://www.biosupplies.net.au/mini-black-soldier-fly-larvae-2000/
http://www.livefoods.com.au/live-insects/calci-worms
Silkworms :
http://www.biosupplies.net.au/silkworms/
http://www.livefoods.com.au/live-insects/Silkworms
https://www.peacefulsilkworms.com.au/?page_id=374
Check GumTree , there are often local people who have live silkworms for sale much cheaper than Biosupplies, Piscus, PeaceFulSilkworms, Livefoods and AmazonAmazon sell them.
I harvest the eggs and "farm" my own silkworms , I have to buy in fresh mulberry leaves (usually from GumTree sellers) in season and out of season when I run out of blanched&frozen leaves I make up worm food from commercial silkworm chow to keep my worms fed. Each female moth can lay 400 eggs. ( I mostly refrigerate my surplus eggs til I need to hatch them ). The moths are great treat for a hatchling too.
A 2 to 3 month old hatchling bearded dragon will scoff down up to 8 x 1.5" long silkworms in a sitting.
Crickets : some breed their own , I did this for a while but too much bother keeping the little crickets alive so I gave up on breeding my own. (I don't have enough pet lizards to make it worth my effort.)
http://www.biosupplies.net.au/classic-pack-200-small-crickets/,
http://www.biosupplies.net.au/classic-pack-300-weanie-crickets/
http://www.livefoods.com.au/live-insects/crickets
https://frogs.org.au/live-foods/product-category/insects/ , for a hatchling about 6 - 8 weeks old I'd get 20 day old crickets or 25 day old crickets depending on the size of the hatchling.
I feed my crickets RepCal adult bearded dragon pellets (dry from the bottle) & fresh chunks of carrot . And gutload them with buk choi greens.
Woodies : to start your colony
http://www.livefoods.com.au/live-insects/wood-cockroaches
http://www.biosupplies.net.au/popular-pack-600-medium-woodies/
https://frogs.org.au/live-foods/product/wood-cockroach/
House and Blow Fly Gents :
are an excellent feeder for small hatchlings, they love the flies too (so don't toss the pupa out, leave them in a dish to hatch)
https://frogs.org.au/live-foods/product-category/insects/
Mealworms are only suitable as treats for a hatchling. The hard exoskeleton is hard to digest and over feeding with mealworms can result in impaction. Another issue is the high fat content of mealworms.
Think McDonald's for lizards , they love the worms.
Superworms also are only suitable as treats for a dragon, and definitely not for a dragon under 1 year old.
I recommend offering some grated carrot & sweet potato mixed with chopped raw pea and green beans and chopped greens like buk choi or nasturtion or dandelion daily to the hatchling ( may or may not show any interest , but it might nibble on it if finds an insect on it).
I suggest having a bottle
Repashi GrubPie on hand , it's handy for those times when you run out live feeder insects (even the most organized keepers sometimes run out of live insects occasionally) .
The stale pellets go to my superworms and mealworms as a supplement to homebrand wheatbran (from Coles) .