It is rare to have a bird snub mealworms - especially live ones, but I know most members of my flock snub earthworms, but I have one girl that goes crazy for them.
Now is a good time to get them accustomed to treats and to 'treat train' them to come to a specific noise or call. (Really good when a girl goes MIA or they sneak over the fence.) You could try hand-feeding or sprinkling them in a bowl with feed so they learn to associate them as a food source. Millet sprays and sunflower seeds are another good treat to offer.
I'm sure it'll be love at first taste!
Introducing delicacies like these can also help when encouraging sick birds to eat later on down the track. Just remember, everything in moderation. Treats should not supplement feeding ad-lib, and pelleted is best for this to ensure their diet remains well balanced. As you've just discovered, they can be picky eaters, which can lead to them snubbing or gutsing portions of loose feed and off balance their nutrition (not to mention wastage from scattering feed to get to the good bits).