Set up a tank or bin with a mesh top. Put in plenty of egg crates or stacks of cardboard tubes on one side and dump them in. Provide fresh veges on the far side of the enclosure. I've found that they love squash and orange slices but vary it up depending on what you have.
If you use a rubbermaid and it looks like they can climb the bin (varies depending on the type of bin you have), line the top of the bin with clear packing tape. That'll keep them from being able to escape.
I have a UTH under the cardboard and it helps keep the temps up a bit at the bottom of the tank which is beneficial especially during winter. A lot of people either filter out the size they need using buckets with holes drilled in them, or they pick out a set of small bugs and let them grow in a feeder colony and have a feeder colony growing alongside the breeding colony.
I meant to take better pics over lunch and respond but I forgot to. Here is my current setup. I choose to have two colonies, one feeder and one breeder. Go to Wal-Mart, buy a couple bins with tops and cut some holes in the top and glues some screen on. I choose my breeder one to be much larger and dark. My feeder I want to keep small, so it doesn't really get heat and is clear. Hoping to prolong the smallness of the roaches so I don't need to order anymore. I got 1000 XXS from DubiDeli for the feeder and their starter colony pack 2 + 20 more adults from them. I can't say I've bought any elsewhere but I don't plan to. Great customer service.
That should work very nicely. If you go with a UTH I suggest propping it up so there is ventilation under the tank. I have my tank sitting on a bakers rack to allow air to flow under the heater for safety.
The CHE would work and get a larger area heated up. It could decrease humidity quite a bit though which may be a concern with dubia as they are tropical roaches. Painting the sides may not be necessary if you keep it in a relatively dark area. My setup lives in the basement which is dark most of the time and that works well. My setup is in a 20g regular (Cooper's starter tank) and it has worked really well so far but the colony is almost a year old and growing rapidly. I'm probably going to split the colony into a second tank or move it to my 20g long soon.
CooperDragon, do your dubia eat greens? Mine really don't like them for some reason! They'll nibble here and there but mostly snub them. They'll devour squash like there is no tomorrow, though.
I just wish they'd eat my extra greens since I have so much left over from feeding my beardie.