Not to make anyone angry but the horned lizards primary food is ants any other will eventually lead to poor health or death the Texas horned lizards can supplement these with termites, beetles, and grasshoppers.
The Texas horned lizard, along with at least three other species, also has the ability to squirt an aimed stream of blood from the corners of the eyes for a distance of up to 5 feet. This not only confuses would-be predators, the blood is mixed with a chemical that is foul-tasting to canidae predators such as wolves, coyotes, and domestic dogs.
Now the bad news
Texas: The Texas horned lizard is now a protected species and it is illegal to take, possess, transport or sell them without a special permit.
Arizona: It is against Arizona State law to harass, harm, pursue, hunt, shoot, wound, kill, trap, capture, or collect this animal or to attempt to engage in any such conduct.
California: California Department of Fish and Game gives them full protection from collecting.
Times have changed since we were kids unless they are from Texas and you have a permit we have to leave them be
A good reference place is Horned Lizard Conservation Society
www.hornedlizards.org