There are frozen, freeze dried, and live blood worms (at least I know you can get some kind of worm live, but they can be a mess). Freeze dried are best only for a treat, they tend to cause bloating. Frozen, is well frozen, just ask at your pet store and they should be able to tell you if they have any. For frozen food you only need a tiny tiny sliver, like less than half of an uncooked grain of rice. They are usually sold in cubes, or as "sheets". It takes a bit to get used to, but it's supposed to be second only to live food for them.
Not everyone is willing to take the step and go to frozen food, or live, so pellets are just fine. But may I suggest you find two kinds? A bit of variety is helpful, and healthy.