If they have access to grit, it's perfectly fine to feed them treats. In nature, the chicks would be eating all sorts of bugs, so it's not as though the mealworms pose a serious health threat. Just make sure you don't feed them enough that it cuts into the amount of chick starter they are eating, since the chick starter contains crucial nutrients that they need to develop properly.
Yes, they will love them. Offer a a couple at a time in your hand/fingers and watch your first food run…one will get a dried worm and run around the brooder with their buddies running after, quite a site to enjoy. Agree with previous post, add a little chick grit to their food. And don't overindulge in the treating. Make sure you have your camera ready when you do offer the mealy worms!