I heard that they do secrete a foul odor, but I've only rinsed mine, not soaked them. Maybe I should try this too? However, I think it may be inevitable, as it's recommended to try and avoid cutting them, as they smell even WORSE, which I think they end up tasting regardless. I usually just try finding the super small ones in my tub hoping that he'll just gulp it down and not think twice.
But, some axolotl's take to red wigglers, some just can't eat them. If you're not seeing any improvement, I'd say try some earthworms-nightcrawlers, and just cut those to the size needed. Best of luck.