Bomb is right, don't give them live food all the time if you aren planning on going back to pellets, here and there is fine.
I have actually caught mosquito larvae in a natural spring pond thing. My bettas enjoy them. Watching them hint is really funny. Just remember that if you always have water out they could turn into mosquitoes after a while. Happened to me while I was storing them in a cup. The place I get them at is not at my house but I may try to leave like a bucket of water out. Maybe I will get lucky.