Many people use roaches as a staple feeder instead of crickets. By all accounts, they're cleaner and less noisy than crickets. And they breed rather prolifically too. As far as I know, they have similar nutritional values to crickets of the same size.
Regarding the fact that you caught the roach to feed to your cham, always remember to exercise caution when feeding wild-caught insects. You can never be sure what pesticides or parasites they've been exposed to.
Having said that though, many people are of the opinion that the benefits of exposing your cham to a varied diet, and to wild caught insects who may be carrying nutrients you aren't able to provide in a standard diet, far outweigh the risks related to wild-caught insects.
I guess the main thing is just to to be careful, and not catch insects in areas that are likely to contain pesticides (like farmlands for instance).
I was looking at breeding lobster roaches for my Veiled trio, but they will climb feeding deli cups will they not? Is there a better species of roach for cup feeding? Or would vasaline or leg removal work better?
Dubia roaches are what I feed my cham. He loves them. He likes a good crunch. I could feed him mostly gut-loaded roaches, but I also give him crickets, mealworms, superworms and the occasional waxworm and silkworms when the suppliers have them.
It cost a bit to start a colony, but once I did they pretty much have paid for themselves. This type of roach doesn't really climb or fly. They also really need to be warm to breed, so if they get out (and I have not had 1 escapee) they are unlikely to breed. If you are worried at all, if you line the top inch of the tub with a thick line of vasoline, they will not pass the barrier.
They are remarkably clean and do not smell. I also have different sizes living together without any problem. You can keep a couple thousand in a mediumsize sweater box. I'm excited come winter when the crickets are harder to get shipped, I'll have a staple diet that is easy and cheap to keep.