Here is why you do not want to feed your green iguana insects. Iguanas need to have a 2:1 Calcium to Phosphorus ratio in their diet for proper calcium metabolism. This means that for two parts of Calcium there is one part Phosphorus.
Insects have a 1:30 Calcium to Phosphorus ratio. What this means to your iguana, is that the kidneys work overtime to filter out all of that Phosphorus, because the green iguana is not suited for that much Phosphorus.
Recent studies of iguanas in the wild show that they do not eat bugs at any stage of life. Their body is that of an herbivore, with a "hindgut" that breaks down plant fibers.
This hindgut is similer to that of horses and cattle in the mammel world. And we all know what happened when they started feeding meat byproducts to cows, who are also herbivore. Mad Cow Disease.
Your iguana won't get Mad Iguana Disease, but it will get kidney disease and ultimately, kidney failure, which leads to premature death.
Stay away from bugs, animal protein, or even commercial iguana food that is corn based. Corn has a 1:30 Calcium to Phosphorus ratio.
The best place to go for iguana diet info is
http://greenigsociety.org