mine are fed almost exclusively on roaches, but I use bowls !
The roaches do tend to bury themselves away in nooks and crannies if left to free roam, luckily all my guys have 'learnt' to take them from the bowls now.
I use little food dip type plastic tubs, which I then mould modelling clay (non bake) around and then give a couple of coats of yacht varnish to. I find the roaches can't escape these like they did some manufactured ones.
Thanks for your advice. I sort of buried a small dish like you mentioned (the throw away food dip). The male ate out of his, but the girls haven't gone near theirs. I hate that it has to be a bit deep for the roaches to stay in. I'm hoping they get the hang of it soon.