Pinkies are fatty, hard to digest, and could carry parasites. There's no good reason to feed them to a dragon. Insects and greens are the best diet to keep a dragon healthy.
I kind of disagree. I keep a few frozen pinkies around for times when my BD is being picky about what it wants to eat. After a few days of it under eating I just thaw out a pinky and give it to him, and then the extra calorie are a plus. And there's no worries about parasites because its frozen.