Crickets are probably the most nutritious of the insects you have listed. Earthworms are nutritiously similar to cardboard; Waxworms are high in fat; Kingworms and Mealworms have a high shell to meat ratio. I'd feed a variety of feeder insects (most commonly crickets).
That being said, I would offer eggs, ground turkey, chopped up adult mice (as pinkies are low in calcium/bone density), pinkies, chopped up chicks, fruit, etc. The point with Monitors and Tegus is to give them a varied diet. I'd only feed insects two or so days a week. The other days should offer rodents, etc.
Have you posted pictures of your new addition yet?