I use both but my leos are fussy and will not eat mealies most of the time.
Crickets actually have more nutrition due to the fact that they can be gut loaded. Mealies can not be gut loaded. They are larvae, and can not ingest enough nutrient to fully benefit your leo. Crickets are also easier to digest and more calcium/vitamin suppliment powder can stick to them.
Also, crickets encourage your leos natural "hunt and stalk" predator instinct.
When providing food for the mealworms can it simply be put in a small dish in the container? Will they have any problems getting to it? Or should it be sprinkled all around inside the container?