:I used a mix of sand and corn cobs for the substrate That is probably the culprit. Loose particulate substrates are often risky to use with insectivorous lizards that chase their prey and capture them violently. Also, as stated in other replies, the humidity retention of such a substrate would be poor. The best substrates for an Anole are paper towel, reptile carpet, or organic/sterile potting soil.
:I dusted the insects with D3 and calcium powder. Try and find a calcium powder that is void of supplemental D3. I suggest either RepCal's No D3 forumla, or JurassiCal.