Leopard geckos are carnivorous, so they probably won't even consider eating any vegetation you put in with them. If you're worried about vitamins, gut-loaded crickets are the easiest, and best, option in my opinion. If you can't purchase crickets that are already gut-loaded at your local pet store, you can gut-load whatever crickets you purchase by feeding them Fluker's cricket food (I use the orange cubes). It's a good idea to continue feeding already gut-loaded crickets this food anyways, since once the food they were given is digested, any benefits are lost.
I also dust my crickets with calcium occasionally. Just enough to help with bone growth, they require much less calcium when fully grown.
You can also put a bit of vitamin/calcium powder in some water and most leopard geckos will drink it.
I haven't heard of anyone feeding their leopard geckos locusts, but I don't see anything wrong with it. You might want to look up their nutritional value vs crickets to see where they stand. As far as waxworms go, personally, I say it's a good thing they don't like them. Waxworms are high in fat content, and their exoskeletons are difficult for reptiles to digest. So they really aren't the greatest of foods to offer.
I know this isn't really part of the question, but I separate sexes of my animals unless I want them to breed. There's nothing you can really do to prevent the male from stressing the female out, and there's nowhere for her to escape the attention in a terrarium. They'll both do fine in separate 10 gallon terrariums, and if you're worried about expenses with new lights they don't require UV lights since they've been bred in captivity so long. Although some small studies have shown that even reptiles that don't require UV light will benefit from small amounts, so I still suggest it.