I have been using this site...
http://www.bigappleherp.com/
It's only like $14 for 1,000 mealies. Aurora will only eat meal worms and crickets for some reason, although I'm trying to get her on super worms. Haku goes nuts for super worms...they are more expensive, around $30 for 1,000. Last time I ordered I got some wax worms for treats for them but I don't think I'll get those in bulk again, most of them died before I could feed them all.
Shipping from them is like $16 for the first box of worms and then only an additional $5 for each extra box. They ship same day if you order before like 4pm I think, and I got my order the next morning before 10am. For me it's muuch cheaper than going to the pet stores. I buy them in bulk and then keep the meal worms in the fridge so they last long, and the super worms I keep in a plastic bin and they last long that way - so I don't need to order that often
The onnly thing I didn't like, was that the boxes they shipped the worms in where sided in mesh, so you could see the worms lol. It wouldn't have been a problem normally, but my UPS guy rang the wrong door bell and my landlords live downstairs. They where pretty grossed out to see boxes full of live worms

But I don't know, that might be the normal way to ship worms?