Partly because I'm thinking of moving my beardie into my apartment and partly out of curiosity, how do those of you who live in cities get your feeders? I live in a small-ish city that doesn't have any pet stores that carry feeder insects, and I don't think my landlord would be pleased if they found I got live insects shipped to the building. So, how do you do it?
Shipping would probably be the best bet. With crickets, you'll need to order them monthly or so. Could you have them shipped to work or another address and then bring them in? If not, you may want to look around the area (craigslist etc) for an established dubia roach colony and pick that up. They are self sustaining after a while so if you can pick up an established colony it wouldn't require shipping or trips to the store other than for veges to feed them. If you don't find an established colony, you could start your own by ordering a large mixed group but it may take a few months to get it established and build a few generations of bugs so you can start feeding some of them off.
CooperDragon is right that shipping will probably cost you less. An alternative to crickets that are healthier and live a lot longer (so you could buy only every couple of months) is dubias. You can get a good deal on them at discountdubias.com