Insects are good, for example something like dried mealworms is an easy way to add protein that's pretty natural to them. These days good quality hamsterfoods usually have enough protein already, but you should always check the protein, fiber and fat percentages just to be sure (and the ingredients as well, the foods shouldn't have colorants at least). The good numbers are around 20% protein and 10% fiber, in fat there's bigger variance depending on the age and weight etc. but it shouldn't be over 15%. I haven't checked what the latest research says though, these numbers and recommendations for diets can change over time