How old is he? Has he pooped recently? When you say the heat is "fine," what kind of temperatures are we looking at? How is the tank heated? Is he housed on sand? If so, I suggest you either take the sand out (no matter what they say, there aren't any "safe" sands), or feed him in a completely different container. He may well have ingested sand with the crickets and mealworms - those lizards are lethargic, skinny, and generally unhappy. Look carefully - are there any mites on him? How's he getting water? Mist the walls of the tank, leopard geckos will often drink the droplets off the walls. They *will* drink from a water bowl, which I haven't yet figured out if it's a normal thing or if it's because they're super thirsty and they have to (it seems to sort of depend on who you ask). How often is the water changed? cage cleaned? shed box cleaned? What is the shed box setup?
I would house him on paper towels (changed daily), mist a couple times a day, continue offering food. I don't know that there are any safe over the counter treatments for mites - if he's got mites, you'd probably have to go to a vet. Personally, I'd take him anyway, but it could get kind of pricy (depends on what you want to do though - I've seen plenty of $5 rats go to the vet and get $500 bills that were happily paid by the owners). He may need fluids and/or forcefeeding for rehydration and nutrition - things that a good vet should be able to show you how to do, if done by mouth. There's also a couple of infections he could have that could cause a gecko to be lethargic and inappetant - make sure everyone who handles anything related to the gecko washes their hands very, very thoroughly after, since at least one of them has the potential to be transmitted to humans. Anything that can be, should be bleached (wash thoroughly first, organic matter inactivates bleach), and bleach whatever sink you use to do the washing with. He may need antibiotics, or he may not make it anyway, if that's the case. You should be taking hygenic precautions anyway, as reptiles, especially reptiles under stress (as any newly acquired lizard would be), are known to shed Salmonella intermittently.
As an aside, the crickets should be gut-loaded before feeding, and a good mineral-vitamin supplement should be provided. How often is he being fed?
Good luck with the little guy - leopard geckos are pretty cool little guys
