What and how many animals do you want to feed with these?
Dubias are great and produce well with the proper conditions.
I would use a medium sized tupperware tub with a large square cut in the lid, fill the hole with a glued in piece of screen mesh.
No substrate needed, they will create this with their feces (often termed frass). This frass will play a role in keeping your colony healthy, apparently the young feed off of it. Do not clean out the tub unless absolutely needed.
Keep them dry and warm (84-88 F).
Use egg crates stacked on their sides. Fill about half the tub with these.
Feed crushed dog food, and supplement with just about any fruit or vegetable. I prefer to use high starch foods such as potatoes or carrots, these will last the longest and not mold.
Mold and moisture will be your only problems. Keep those factors under control and you should do well.
I also like to always have water crystals available. You can buy these in bulk for very decent prices through ebay.
Depending on what you want to feed and how soon, I would suggest starting with anywhere from 100 to 400/500 mixed age animals. Plan on letting them build for a few months before doing much with them.
Did I miss anything else?