1. That insect is far too big for that gecko.
2. That's a wild caught insect. Wild caught insects should never be fed to animals as there's no telling what may be wrong with them.
3. It is not a cage friend. It needs to be removed before damage is done to your animal. Grasshoppers/crickets/worms/etc. are known to chew at skin and can leave permanent scarring and do some real damage. Not to mention stress your gecko.
4. I don't know what kind of setup you have going on, but you need to ensure that there's plenty of humidity. The bits of shed stuck to your gecko aren't healthy. If sheds go bad, they can lose toes, eyes, tail, etc. Please be careful.
5. Also on the feeding, be sure she's getting some CGD with calcium added. Crickets are not a nutritionally complete diet.