I feed them every day. Crickets, grasshoppers, caterpillars, ants, small beetles (basically any insect), moistened dry cat food, bits of raw meat, honey, and fruit (especially banana). I learned from experience that they will cannibalize if not fed daily.
I keep them on moist sand collected from the beach where I caught them. Humidity and moisture are kind if tough. They want their sand nice and moist, but they also need a hot incandescent lightbulb above their cage or they will spend most of their time buried. So you need to spray down the sand at least once a day to keep it moist. This is especially important after they start to breed as when the sand dries, the larvae's burrows will collapse leaving them stranded on the surface where the adults will probably eat them.
After the adult beetles have bred you don't need the hot lightbulb anymore.