I have one old tiger that shares Sammy's plight - he will only eat crickets. When he was a younger fellow, he enjoyed worms (nightcrawlers, not red wigglers) and other insects...but over the past 7 years his palate has developed a preference for only crickets. With that diet, metabolic bone disease becomes a concern....which is not always visibly apparent but can be seen on Xray. As Jen states, dusting is the only way to assure adequate nutrient intake. To acheive adequate calcium levels by feeding, kills the crickets rapidly...and nutrients apparently dissipate quickly...in the ones that may survive.
I use the product that Jennewt describes. It is purchased as two separate containers and must be mixed just prior to dusting. Small quantities should be mixed and used as the vitamins will degrade over time if the mixed product is stored. I use a small baggie and place the crickets in there and shake. I do one at a time, then hand feed. To your point, if you turn the crickets loose, the powder will fall off and the crickets will also 'groom off' the powder. I don't dust with every feeding as there is debate on the potential for hypervitaminosis, especially with VitA as I recall. But that is a topic for a different thread.