Insects are a no no. Try day old pinky mice. If you plan on keeping him then you'll need a tub or tank to keep him in. (10 gallons are good for corns up to 18 months I believe). Warm side should be 88°F cool side should be 77°F. UTH heater attached to rheostat or thermostat. 2 hides each side. water dish. make sure the lid had a good lock or cage clips, if there is a small space they will escape. A tub make work best.
I'd wait a few days before feeding him. Let him settle down.
I suggest reading The Corn Snake Manual by Bill adn Kathy Love. It has everything you need to know in it
It's a cutie by the way.