There's always some degree of talk about how "so and so" fed something not realizing it was potentially toxic and because "nothing happened" they now advocate the food as a regular feed item. Honestly, its personal preference. To me, its not worth it but I tend to be overprotective of my dragons and not take senseless risks when there's like 859 billion other things I can feed them instead. With that being said, these items have known to be toxic to dragons:
-Lightning bugs (VERY toxic)
My best advice to you is that if you don't know what something is, and can't research its safety, simply don't feed it. Use something else instead.
So you're outside and suddenly your dragon gulped a lightning bug (firefly) out of the air before you could stop him. Now what? The best answer is to run (don't walk, run) to your nearest vet. Let's say the vets are closed.
My best suggestion is to have activated charcoal on hand. Many stores sell it online, like www.beardeddragon.co (first aid section, already includes dosing for dragons), and similar sites. That's seriously the only two best things you can do.