If your talking about crickets...they are a pain to deal with. I was breeding about 10,000/mo, but it takes up a lot of time, effort, and stink.
If your meaning roaches, I would do it. In fact I do
I breed three species, soon to be 5.
I wouldn't breed dubias (I do have a colony, but trying to feed them off) they take longer than other species of roaches. Their nymphs are not very bulky and you end up feeding more to the dragon. I would look into orange heads, ivory heads, or six spotted roach. The nymphs of both the six spotted roach and ivory heads are some of the bulkiest roaches available.