Hi, I had this problem with mine at first. i put the worms such as waxes, and supers in the cup, but i let him have about 4-6 free roaming crickets. a few days later, it would be 3-5 free cricks and the other 2 would go in the cup, etc etc until they were all in the cup. took about a week and a half.
at first i would have the cricks in a glass cup from the cricket cage. i would wave em around my cham to make sure that he saw them, and i made sure that he followed the cup with his eyes as i dumped em into his feeding cup. make sure the cup is opaque, and sits below him, and make it deep enough for the insects but not deep enough for him to fall into. i have read and about chams actually going down into the cup to feed with no way back out and getting eaten by the bugs.
good luck!