Start with the small size and as he grows you can get medium then large etc. most people say the insect needs to be able to fit in between their eyes. I’ve had good luck on Amazon finding sellers but I order 500 at a time. I order once a year and just feed them my leftover greens from my reptiles. But I’m sure others will chime in on their preferred places to order insects.
The cheapest place I found is www.dubiaroaches.com - there is a size chart on their website for that - order the size no bigger than the space between their eyes