1. It depends on your sized colony. I have a colony of dubia w/ about 400 adults. I feed them fruits and veggies about once or twice a week and makes sure they have dry gut load at all times. They go through a couple apples worth in a day and a half.
True they do not need substrate but will in a way produce their own substrate. Their droppings aka frass (spelling)will accumulate you may want to clean it out every few months. The nymphs will actually benefit from this frass.
They do not go through different phases they are born as tiny little replicase of the adults.
You can separate the different sizes if you like that is your choice.
Yes just keep a dry food for them available at all times. I use ground up unmedicated chicken feed, dry multigrain baby cereal, fish flakes (they love these), and the occasional ground up dog food. I give mine slices of orange and apples a few times a week. And always keep water gel available for them to drink. I also will mist the top of the egg crates thoroughly on occassion. If you look back in the tub 5 minutes after a misting they'll all be out lapping up the water from the crates.
As for phases there are two, nymphs and adults. The nymphs are brown and range in size from tiny to almost adult size. At they're last molt they will emerge with wings for males and with a nice shiny black and orange exoskeleton without wings for adult females.
1 med sized dubia has the approximate nutritional value of 2-3 crix. more meat to shell ratio than crix. i feed my stubborn leos 2-3 proportionally sized dubia per feeding. i don't think you would have an issue with the cotton either, i just used the calcium enriched cricket gel for my water source.