Varying a betta's diet is extremely beneficial. It contributes to their health. Bloodworms are a definately worth buying.
I would go with frozen because I hear freeze dried can contribute to constipation. In fact I have also heard that frozen can help loosen up a fish that IS constipated(yet another good reason to get them).
Frozen BW are also inexpensive, and if you are using them only for one or two bettas, can last a really long time.
My bettas know when I have the bloodworm cup, you should see how excited they get. They definately don't react that way to the pellets.