I wouldn't, just like I wouldn't feed anything caught from outside. You have no idea what they've been into, what they've been eating, and if they've ingested any pesticides.
Washing off visible dirt will not get rid of anything the worm ingested. Pesticides and chemicals are one worry but the bacteria alone present in the worm will not be good for your gecko. This is why it is better to have captive bred than wild caught animals. The wild caught usually have a high parasite load in their gut which doesn't bode well for their health.
Tried this years ago with "Gex". He didn't eat it - I guess he thought that it wouldn't taste good. Although he did once eat a cicada - swallowed down the whole large bug.
you just cant feed your geckos wild worms because you dont know what there carrying, thats why you buy mealworms and stuff from a pet shop so you can gut feed them that way you know what you gecko is eating