There are only two types of insects: the ones that nobody (scientists included) knows anything about, and the ones that everybody thinks they know about.
Zophobas falls into the latter category.
Do not trust the reptile and fishbait sites that look credible but are filled with inaccuracies. Even the Cincinnati Zoo has mistakenly stated that Zophobas is flightless and has fused elytra. This is obviously not true; I have seen it fly myself (though this is uncommon), and McMonigle's Ultimate Guide states that all feeder (Zophobas, Tenebrio) and grain pests (flour beetles) can fly well. The zoo probably read that Eleodes giant darklings are flightless, which is true, and plastered the label to the entire Tenebrionidae.
I have also raised Z. morio myself, and here are a few tips:
1. The larvae will pupate even if food is available. Great anti-starvation tip, but no one ever mentions it, though.
2. I have pupated several larvae (one per cage) in a plastic cage filled with shallow dirt. They made an oval depression on the soil surface before pupating. Dirt pupation is not suggested because it takes up too much space
3. Adults will lay eggs in anything, including paper tissue. One or two females can make tons of larvae, so keep all your beetles separate if you don't want to use their offspring as feeder insects. Identifying sex of adults is not a solution. Males are on top when mating, but they are so zealous that they will mate with other males.
4. Zophobas is great, but wild native darklings are also very interesting. Since you live in a desert, I imagine there are some great desert darklings in wilderness areas. Ask Hisserdude to help you with these, because my post is long enough already.
Stag Beetles: The sand is for flower scarab grubs, according to the Ult. Guide.
Normally I am reluctant to log in here due to computer issues, but I am expecting to be more active in bugguide forums (user Eleodes) or on my blog talk page (sp-uns@blogspot@com, replace @ with .)