i would *EXTREMELY HIGHLY* advise against putting a heat light in your enclosure.
They can not tell that they are burning themselves, and even with a guard, will climb directly onto the guard which will be incredibly hot.
As for the food issue, I simply place a large container (much bigger than a cup, like a 12"x6" plastic container) with crickets and even some cricket food/etc. I keep enough crickets in there that they can notice (more than a days worth of food) but make sur the crickets can't get out.
I place the container directly besides some elevated planters, so that they can easily hang off the bottom of the plants and pick off crickets from the tub w/o the crickets getting out.
If you want to see a build of my full-wood enclosure, you can check out my threads, but it isn't complete yet. Word of warning: if you are using FULL wood panelling (as opposed to wood-framing only) you need to consider water-proofing your wood or you will face rot/mold issues faster than you'd like..