Marion - it is only the larvae that need live foods. By the time their front legs grow out, their sense of smell is developed and they will eat frozen foods too. I feed my babies on a mix of frozen and live. I hatch the brine shrimp from eggs, and got the daphnia sent from someone in PE. Then I found some insect eggs in a pond, hatched them, and they turned out to be midge eggs, so I had loads of larvae to feed the axolotls on. To answer your other questions:
They can grow up to 40cm, though 25-30cm is more common. No, they never leave the water and sit on land unless they undergo metamorphosis and become "adults". They are neotenic salamanders, which means that they have evolved to be able to stay permanently in their larval stage, and even breed like that. It is only under abnormal conditions that they will change - usually caused by low water level or poor water quality in the aquarium, and this change is very stressful for them and could even kill them.