I've never tried. I'm not sure you'd get a lot o nutrition out of a rolly-polly and I figure they'd be kinda crunchy. If you brought them in from the wild, I'd try to raise several generations to try and make sure you've got ones that do not have pesticides or parasites. I don't think rolly-pollies have any toxins, but I don't know.
I dunno if I'd really be worthwhile food..and I have no idea if a leo would even eat it.