Sometimes, people will try to cash in by catching several gravid females from the wild and then collecting the eggs. This should only be termed "captive hatched" rather than captive bred. The lizard hatchlings should have no problems adjusting. Glad to hear you have a petshop with enough "know-how" to get a wild caught lizard up and running again :P
Feeder insects are very easy to get going, and you should have no problems with them. Do a search, and you can find several helpful hints are raising your own worms and crickets.