In my experience the crickets generally don't jump much. I seldom have an escapee. That being said, if you are using something like a deli cup, for small crickets I would say a couple of inches tall would be great. For large crickets you would want to go a bit taller.
The best thing I have found for my guys is to get an opaque bottle (like a Sunny D bottle) and cut a section out of the front of the bottle. I left about 1/2" from the bottom as well as 1/2" below where the neck bends on the straight portion of the bottle. Then you just attach a strip of aluminum screen, or something else the crickets can climb, to the back of the bottle. I found that about a 1.5" wide strip works best. The crickets were able to get a hold of the side of the bottle and escape when I used more screen than that.
By hanging the bottle upside down in the cage, the crickets can't use the flat surface on the bottom of the bottle to jump out and they simply fall into the neck of the bottle if they fall.