I don't have a copper band, but I think they might be my favorite fish, and I aspire to a pair of them in my next tank, if I can ever get that tank going lol!
I also take biosecurity quite seriously, and for that reason I would prefer to freeze the clams to minimize any fish parasites that they may have, even if that risk is very low.
However, you loose some of the benefits of feeding live food by freezing the clams, and your CBB may not take frozen/thawed clams.
If this is a treat, I'd freeze a couple and see if he takes them frozen, and then do that as I believe this is the safest in terms of fish parasites. If you're seeking additional nutritional benefits from feeding live, or if your fish doesn't like them frozen, you may need to use them live.
I'm following to see what the real experts would suggest here.