I have tried raising both crickets and worms. If you devote the time and create a suitable habitat it can be done. But I want to emphasize that it is not worth the effort. You will certainly not save any money.
As Chuck says the local Walmart has a good supply of worms. I think Academy is the best source if you have a handy store.
Crickets are more of a problem but they can be ordered on line. Pet Smart has a few usually but they just order small crickets from Armstrong to resale and mark the price up outrageously.
Seventy years of chasing the elusive sunfish.