Yes, do keep a milk cap of calcium (pure) in the tank at all times, they do lick at it. Superworms are fine, my guys eat them. A varied diet is always good, crickets are great too. I don't know what a mule worm is so can't comment on them.

I, personally, think any loose substrate is not a good idea. There are a lot of folks who will disagree but I'd rather be safe than sorry. Sand (calcium especially) can build up in their intestines over time and cause impaction, which can kill them. Regular sand is better, but why risk it. They lick everything, repeatedly, so will ingest that as well. I use ceramic tile on the warm side and paper towel on the cool...it works and won't kill them.

Congrats on getting her, she looks like a cute!