First you need a good size smooth plastic bin (clear or opaque from Walmart work great!) Then you cut 3 large holes (1 in the top, and 1 in each side). Heat the blade to make it easier to cut through (I ended up with 3 stitches before I found that tip). Cover the holes with aluminum screening (they can chew through plastic or fiberglass) I used hot glue to secure my screening after I had an epic fail with duct tape, then I was told that they can chew through that to. I have not personality had a problem with the glue, but I am super attentive to it checking almost every day just in case. Tada, now you have a cricket keeper that will allow air flow so it will not stink!
There are 2 things you need to do to prevent major die off. 1 give them a lot of space by adding paper towel/toilet paper rolls (I cut tp rolls in half and pt rolls in 3rd's if I'm running short), add egg crates if you have them (you can also buy them off e-bay) that way they will not be so crowded. And 2 always make sure they have food, if they are hungry they will eat each other! I personally use a frozen gutload that I make myself. It makes life super easy! I can tell you how I do that as well if you want.
Oh I should mention about the stink issue, I clean out my keeper at least once a week (more if needed), that helps a lot also!
Did I forget anything???... I don't think so, but if you have questions please ask!!