Haven't been bitten too many times by mealworms, but I cut their heads off to be sure. I guess from all the years of fishing and hunting I'm a little desensitized to worm gore :P
Plain redworms and night crawlers are good, too. I make sure to give them grit for anything I would have to...
I'd heard the same thing - we cut their heads off before giving them to our almost 4-weekers. I've never had a mealworm bite me in all my years of fishing, but I didn't want to take a chance on one of the babies having issues from it.
Another treat idea - fresh yellow squash. Mine love it...