Cockroaches are one of the best breeding insects. You must be very careful though, as cockroaches can escape, and breed very quickly in your house causing an infestation.
A 40 gallon aquarium will do nicely. Make sure the screen top does not have any holes in it, and that it is secured extremely tightly. You must provide the cockroaches with lots of places to hide, many more than is needed while Breeding Crickets. Make sure to change the cartons and tubes you use whenever they get covered in excrement.
Cockroaches will eat anything and everything. You must ensure that the diet they get is varied, and enriched with vitamins. The healthier your cockroaches are, the healthier your lizard will be. Feed them various vegetables, fruits, and cereal grains. Dust the food with calcium and multi-vitamin supplements. Change the food everyday as decaying food can cause sickness and disease. The cockroaches will get the majority of water from their food, but you can always provide a very shallow water dish, or a damp sponge.